JPM 2010 Annual Review

North American High Yield Research
New York December 2010
2010 High-Yield Annual Review

High Yield and Leveraged Loan Research Peter Acciavatti AC
(1-212) 270-9633 peter.acciavatti@jpmorgan.com
Tony Linares
(1-212) 270-3285 tony.linares@jpmorgan.com
Nelson R. Jantzen, CFA

(1-212) 270-1169 nelson.r.jantzen@jpmorgan.com
Alisa Meyers
(1-212) 834-9151 alisa.meyers@jpmorgan.com
J.P. Morgan Securities LLC
Contents
Sections 1. 2011 outlook and portfolio strategy 2. Performance review 3. New-issue review 4. Event risk 5. High-Yield Equity Index review 6 The case for high yield 7. Fund flow review 8. Leveraged loan market review 9. The case for leveraged loans Appendix A-AA 5 25 45 59 83 99 109 119 137 A1-A145
2010 High-Yield Annual Review is available on the J.P. Morgan Chase and Co. Research website: www.morganmarkets.com
See last page for analyst certification and important disclosures.

J.P. Morgan does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision.
Peter D. Acciavatti (1-212) 270-9633 peter.acciavatti@jpmorgan.com Tony Linares (1-212) 270-3285 tony.linares@jpmorgan.com Nelson R. Jantzen, CFA (1-212) 270-1169 nelson.r.jantzen@jpmorgan.com Alisa Meyers (1-212) 834-9151 alisa.meyers@jpmorgan.com
North American High Yield Research 2010 High-Yield Annual Review December 2010
C
S
5 25 45 59 83 99 109 119 137
Contents
Sections
1. 2011 outlook and portfolio strategy 2. Performance review 3. New-issue review 4. Event risk 5. High-Yield Equity Index review 6. The case for high yield 7. Fund flow review 8. Leveraged loan market review 9. The case for leveraged loans
Appendix AA2
A21 A24 A31 A56 A58 A60 A66 A69 A74 A81 A86 A88 A90 A92 A94 A96 A98 A100 A102 A104 A106 A117 A123 A124 A140 A145
A. 2010 US dollar new issues B. 2010 non-US dollar new issues C. Defaults D. Downgrades and upgrades E. Rising stars F. Fallen angels G. High-yield merger and acquisition activity H. High-yield equity issuance I. High-yield calls J. High-yield tenders K. J.P. Morgan Global High-Yield Index profile L. J.P. Morgan Developed High-Yield Index profile M. J.P. Morgan Domestic High-Yield Index profile N. J.P. Morgan Developed BB High-Yield Index profile O. J.P. Morgan Institutional High-Yield Index profile P. J.P. Morgan 100 High-Yield Index profile Q. J.P. Morgan Euro High-Yield Index profile R. J.P. Morgan Sterling High-Yield Index profile S. J.P. Morgan US Dollar European High-Yield Index profile T. J.P. Morgan European Currency High-Yield Index profile U. J.P. Morgan European Aggregate High-Yield Index profile V. J.P. Morgan High-Yield Equity Index, year-to-date 2010 performance W. High-yield investment styles X. High-yield market growth Y. Risk and returns of various assets Z. Who owns high yield? AA. Long-term high-yield market timeline
2011 outlook and strategy
Executive summary: Goldilocks for credit

An economy warm, rather than too hot or too cold, is just right for high-yield
The economic forecast for 2011 looks for a gradual acceleration in growth and hiring, sustained low core inflation, and a Fed that continues on the course of LSAP to support the economy. Due to a boost to disposable income at the hands of the recent tax compromise, our economists look for GDP to grow 3.75% in 1H11 and slow modestly to 3.25% in 2H11. With major adjustments to business and household savings largely behind us, fiscal policy less of an obstacle, and the Fed still supporting activity, the cyclical turn to above-trend growth is expected to finally take hold. Overall, our economists forecast US GDP to expand 3.1% in 2011 and 3.0% in 2012 (y/y), after growing 2.8% in 2010. Although we expect growth to rise above its potential over the next two years, importantly, the US economy will still be operating with considerable slack. By the end of 2011, the US unemployment rate is expected to approach 9%, and is unlikely to fall below 8% until sometime in 2013. While our economists forecast does not call for outright deflation, core inflation is apt to remain below 1% through 2011 (0.7% y/y) and 2012 (0.9% y/y). With unemployment high and inflation low, the Fed Funds rate will likely remain near zero over the next two years. Furthermore, given the Fed needs a long period of above trend growth just to achieve its inflation objectives, a pickup in economic activity in early 2011 is not expected to derail Fed purchases (albeit odds of an extension of the program when it expires in June have faded). As such, investors will likely begin to contemplate the Feds eventual exit strategy in 2011. All of this leads our rates team to envisage a gradual pick-up in Treasury yields beyond the first quarter of next year alongside improving growth prospects. Specifically, they forecast 2yr, 5yr, 10yr and 30yr Treasury yields will increase to 0.95%, 2.40%, 3.45%, and 4.70% by year-end 2011. For high yield, the forecasted move in Treasury yields in 2011 appears manageable. With credit fundamentals steadily improving, default risk negligible, and capital market conditions expected to remain robust, high-yield bond spreads above their long term average are expected to absorb the entirety of the rise in Treasury yields in 2011. More so, these warm economic conditions are expected to foster further improvement in fundamentals and liquidity among a broader set of issuers, and keep default risk a non-issue through 2012. Certainly though, with the transition from public to private sector demand seemingly incomplete, the arrival of a fresh set of risks including Chinese tightening, sovereign/municipal fiscal woes, rising commodity prices, persistent weakness in housing data, and rising US Treasury yields bears watching. However to the extent any of these items place a governor on growth, ironically, they would in fact be a welcome respite for high-yield, because of the implications on Treasury yields. The US economy tracking at a pace not too hot or too cold, would serve as a goldilocks scenario for high-yield credit. Year-end spread and return targets: For high-yield bonds, we forecast year-end 2011 spreads and yields of T+515bp and 7.4%, respectively, and a full-year return of slightly more than coupon, 9.8%, with 60% of the 91bp of expected spread
tightening occurring in response to rising Treasury yields. For leveraged loans, we forecast a year-end 2011 spread and yield of L+475bp and 5.0%, respectively, with the potential for stronger returns in 2H11 versus 1H11, as investors begin to contemplate the Feds eventual exit strategy, raising the demand for floating rate loans. For full-year 2011, we forecast a return for leveraged loans of 7.1%. Positioning: In terms of bonds versus loans, the balance of risks to the near-term rate outlook have shifted in light of the sharp 50bp rise in Treasury yields in the past few weeks and the expectation QE will be completed through June. Thus, we prefer bonds over loans in early 2011 given a comparably low current income component for loans (4.1%), than for high-yield bonds (8.4%). However, we prefer loans over bonds later in the year. Low fixed coupons across the bond market will eventually become vulnerable to rising interest rates. But even before this event we expect demand for loans, which carry a 5-6% yield that floats and sits senior in the capital structure, to benefit from the dearth of alternatives available to protect a portfolio against rising rates. This is expected to allow the spread between high-yield bonds and loans to widen as the year progresses toward the long-term median, 178bp, versus 101bp today. By rating class we recommend investors Overweight CCC-rated credits, Marketweight B-rated credits, and Underweight BB-rated credits. Spreads for BB, B, and CCC-rated bonds are currently 437bp, 616bp, and 1025bp, respectively, and yields are 6.2%, 7.8%, and 11.6%. Because we expect US GDP growth to exceed consensus expectations, Treasury yields to gradually move higher, stocks to perform well, capital market accessibility to broaden, default risk to stay negligible, and high-yield bonds to provide coupon type returns, we believe a portfolio tiered toward lower-rated/higher yielding issuers will likely outperform. Defaults: High-yield bond and loan default rates are likely to end 2010 at roughly 1.0% and 2.0%, respectively, versus their long-term averages of 4.3% and 4.0%. With market technicals strong leading into next year, 2011 and 2012 maturities negligible ($180 billion combined), and US GDP growth expected to accelerate at a modest pace next year (3.1% y/y), our 2011 default forecasts for high-yield bonds and loans are 1.5% and 2.0%, respectively. Furthermore, we also believe that liquidity needs for high-yield issuers will remain a non-issue through 2012. As such, our 2012 default forecasts for high-yield bonds and loans are 2% and 3%, respectively, both still below their long-term averages. For perspective, based on current spreads of T+606bp for bonds and L+588bp for loans, implied default rates are 5.4% and 8.7%, respectively. Conversely, based on our default forecasts, highyield bond and loan spreads should be T+390bp and L+355bp, respectively. In other words, spreads are cheap versus default risk and economic and/or interest rate surprises in 2011 stand a high chance of being absorbed at these levels. Demand: An economy that muddles along at levels a notch above or below our economists forecast (2.0-3.5% GDP per quarter,) would be a goldilocks scenario for high-yield. Any prospective rise in rates would likely be capped and demand for higher yielding credit would remain strong as investors continue to seek alternatives to both higher beta markets such as equities and lower yielding fixed income products.
Capital markets: We anticipate elevated bond volumes as well as the recent trend toward extending credit to a broader set of issuers to continue in 2011. In addition, we expect to see continued improvement in primary conditions for leveraged loan issuers in 2011, after a better than three-fold increase in volume year-over-year in 2010. We forecast 2011 high-yield bond issuance of $235 billion, a slightly slower pace of issuance activity year-over-year, but one still consistent with an extremely active market for prospective issuers. For institutional leveraged loans, we forecast 2011 new-issuance of $160 billion, above this years pace of $140 billion. In other words, issuance activity will remain very strong for leveraged credit issuers in 2011, after historic conditions in 2010. Maturity wall: Importantly, 58% of the $412 billion in bonds and loans issued this year had been used for refinancing purposes. Including 2009s issuance and amend to extend activity, the amount of debt set to mature through 2014 has now been reduced by $393 billion since the beginning of last year. As such, high-yield bond and loan maturities over the next two years are negligible, with only $73 billion and $108 billion coming due in 2011 and 2012. To put this into perspective, the market has already priced $239 billion of refinancing related issuance across the bond and loan market thus far in 2010. This provides a clear runway for issuers and investors and is one of the factors behind our benign default outlook. Even so, focus in the primary market over the next couple of years will continue to be directed toward maturities between 2013 and 2016, as $1.08 trillion of high-yield bonds and loans still stand to come due ($503 billion bonds and $575 billion loans).
High-yield bond and loan spreads remain wide
2100bp 1800bp 1500bp Spread 1200bp 900bp 600bp 300bp 0bp Jan-97 Jan-98 Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10
Loan spread 15-Dec-10 L+574bp High yield Leveraged loan HY spread 15-Dec-10 T+582bp
Sources: J.P. Morgan; S&P/LCD.
2011 growth and rate forecasts: ideal for higher yielding credit
Strong GDP growth in 2011: The economic forecast for 2011 looks for a gradual acceleration in growth and hiring, sustained low core inflation, and a Fed that continues on the course of LSAP to support the economy. In response to the recent tax compromise reached between the Administration and Congresswhich is expected to sharply boost disposable income and consumptionour economists raised their growth forecast in the first half of 2011. First quarter real disposable income, which had been previously expected to contract at a 0.5% annualized pace,
is now expected to expand at a 4.5% rate. With consumer spending forecasted to track at a 3.5% annualized pace in 1H11, our economists look for GDP to grow 3.75% in 1H11 (consensus 2.5%), and slow modestly to a pace of 3.25% in 2H11 (closely inline with consensus). With major adjustments to business and household savings largely behind us, fiscal policy less of an obstacle, and the Fed still supporting activity, the cyclical turn to above-trend growth is expected to finally begin to take hold. Overall, our economists forecast GDP to expand 3.1% (y/y) in 2011 and 3.0% in 2012 (versus consensus of 2.5% and 3.0%), after growing 2.8% in 2010.
J.P. Morgan US economic forecasts

4Q10E Real GDP Unemployment rate Core CPI Contribution to real GDP growth (% pts) Domestic final sales Net exports Inventories Components Savings rate Real disposable income Consumer spending Residential investment Housing starts Light vehicle sales (SAAR)
Source: J.P. Morgan.
1Q11E 3.5% 9.6% 0.6%
%q/q 2Q11E 4.0% 9.4% 0.6%
3Q11E 3.5% 9.2% 0.7%
4Q11E 3.0% 9.0% 0.8%
2010 2.8% 9.7% 1.0%
%y/y 2011 3.1% 9.3% 0.7%
2012 3.0% 8.7% 0.9%
2.5% 9.7% 0.4%
2.7% 1.3% -1.6% 5.4% 1.0% 2.5% 5% 0.55 12.2
3.3% 0.5% -0.3% 5.7% 4.5% 3.5% 10% 0.60 12.4
3.7% 0.2% 0.1% 5.7% 3.5% 3.5% 20% 0.65 12.6
4.1% -0.3% -0.3% 5.4% 3.0% 4.0% 15% 0.68 12.8
3.3% -0.5% 0.1% 5.4% 3.0% 3.0% 10% 0.70 12.9
1.9% -0.6% 1.4% 5.7% 1.3% 1.7% -2.9% 0.59 11.5
3.4% -0.1% -0.2% 5.6% 3.0% 3.2% 6.7% 0.66 12.7
3.1% -0.2% 0.0% 5.2% 2.3% 2.7% 13.1% 0.78 13.2
Low inflation: Although our economists expect growth to rise materially above its potential rate over the next two years, the US economy will still be operating with considerable slack. The core PCE price index, the Feds preferred measure of inflation, has slowed from 2.5% in the middle of 2008 to less than 1% at an annual rate so far this year. The abundant slack in labor markets, real estate, and industrial capacity that have brought lower inflation will remain with us for some time. While the forecast does not call for outright deflation, core inflation is apt to remain below 1% through 2011 (0.7% y/y) and 2012 (0.9% y/y). Only a slow decline in unemployment: Private sector payrolls are expected to average 175,000 per month in 2011. However, this will not be sufficient to lift operating rates meaningfully in an environment of sustained public sector cutbacks. By the end of 2011, the US unemployment rate is expected to approach 9%, and is unlikely to fall below 8% until sometime in 2013.
10
A high required growth rate for the US

If unemployment rate ends 2010 at 9.7% Time to 6% unemployment rate: End 2011 End 2012 End 2013 End 2014 End 2015 End 2016 End 2017 End 2018
If average real GDP growth, %ch saar 10.3% 6.2% 4.8% 4.2% 3.7% 3.5% 3.3% 3.1%
Housing activity has already collapsed: Housing starts and new home sales have dropped to extraordinary low levels relative to history (less than a third of the average between 1996-2006) , especially when adjusted for demographic growth. Our economists forecast looks for another year of economic recovery and somewhat stronger job gains to give a lift to home sales and to housing starts (660K in 2011 from 590K in 2010). Even so, inventories of unsold homes, including shadow inventories, are still elevated and home prices are likely to remain stuck near current levels. However, with the hit to growth from declines in homebuilding and layoffs in the construction industry behind us, it is easier for the economy to grow. Policy support to continue: It is now widely understood (our economists included) the Fed would like inflation to be between 1.7% and 2.0%. For context, our economists estimate US GDP growth would need to be 5.5% in 2011 for inflation to return to 1.8% in the subsequent year, or US GDP would need to average 3.3% through 2013. With a strong public desire to see fiscal consolidation, the low for long mantra for monetary policy is expected to be left unchanged beyond next year. In fact, an initial upward move in the Fed funds rate, or alternatively, a wind down of assets taken onto the Feds balance sheet (the expected first step), is not expected until late 2012, at the earliest. Furthermore, given the Fed needs a long period of above trend growth to achieve its inflation objectives, a pickup in economic activity is not expected to derail Fed purchases. However, because of the improved first half outlook we no longer see the Fed increasing the amount of asset purchases after they are currently set to expire in June. In a sense, although the forecast at the June meeting will still feature very low inflation and very high unemployment for a long time, the realization of above-trend growth in the first half will remove some of the urgency felt last summer to give the economy a shot of adrenaline.
11
Required GDP growth for successful reflation

Reach target by: 2011 2012 2013 J.P. Morgan 2011 forecast Potential growth Target inflation US 5.5% 3.9% 3.3% 3.1% 2.3% 1.8% EMU 3.3% 2.3% 1.9% 1.6% 1.3% 1.8% Japan 4.5% 2.8% 2.2% 1.5% 1.0% 0.0%
Note: Represents required annualized GDP growth need to raise inflation to Feds implicit target by end of next year. In other words, if the US economy grows 3.3% per annum through 2013, the target is estimated to be reached by YE 2014. Source: J.P. Morgan.
Gradual rise in Treasury yields: To state the obvious, risks to Treasury yields for next year are asymmetric. Even so, with the implementation phase of QE delivering a shift in the ownership of US Treasuries from private hands into the Feds balance sheet, we do not expect the recent sharp increase in Treasury yields to carryover into 1Q11. Nevertheless, even with core inflation expected to average less than 1% next year and the Fed funds rate expected to remain unchanged, questions around fiscal imbalances and an eventual exit by the Fed should cause investors to focus on higher rates in 2011. This is why our rates team envisages a gradual pick-up in Treasury yields. They forecast 2yr, 5yr, 10yr and 30yr yields today of 0.61%, 1.86%, 3.25%, and 4.46%, respectively, will rise to 0.95%, 2.40%, 3.45%, and 4.70% by year-end 2011. By quarter, Treasury yields will rally into early next year, followed by a more significant increase during 2Q11 (5-year Treasury yield +45bp) when our economists forecast GDP growth will peak at 4%. Aside from the realignment of Treasury yields in 2Q11, the expected increase in yields would appear to be manageable for high-yield investors because they are expected to be accompanied by an improving fundamental backdrop.
Treasury yields are expected to rise
Current Rates Fed funds target 3-mo LIBOR 3-month T-bill (bey ) 2-yr Treasury 5-yr Treasury 10-yr Treasury 30-yr Treasury 2s / 10s
4Q10E 0-0.25% 0.28% 0.14% 0.50% 1.40% 2.50% 3.85% 2.00%
1Q11E 0-0.25% 0.28% 0.15% 0.55% 1.55% 2.65% 3.95% 2.10%
2Q11E 0-0.25% 0.28% 0.18% 0.75% 2.00% 3.00% 4.25% 2.25%
3Q11E 0-0.25% 0.28% 0.19% 0.85% 2.20% 3.20% 4.50% 2.35%
4Q11E 0-0.25% 0.28% 0.21% 0.95% 2.40% 3.45% 4.70% 2.50%
Change curr./4Q11 0 bp 0 bp + 7 bp + 34 bp + 54 bp + 20 bp + 24 bp - 14 bp
0-0.25% 0.28% 0.14% 0.61% 1.86% 3.25% 4.46% 2.64%
12
Default risk will remain low in 2011 and 2012

With default volumes declining at a steady pace in 2010, high-yield bond and loan default rates have now fallen for 12 consecutive months to 0.7% and 2.2% (ltm), respectively. For perspective, these represent a fraction of the 4.3% and 4.0% longterm average default rates for high-yield bonds and loans. Going forward, with market technicals strong heading into next year, 2011 and 2012 maturities negligible ($180 billion combined), and US GDP growth expected to accelerate next year (3.1% y/y), our 2011 default forecasts for high-yield bonds and loans are 1.5% and 2.0%, respectively. Additionally, for 2012, our default forecasts for high-yield bonds and loans are 2% and 3%, respectively, both still below their long-term averages.
Default rates are expected to remain low through 2012
14.0% High-yield bond default rate 12.0% Par-weighted default rates 10.0% 8.0% 6.0% 4.0% 2.0% 0.0% 2011E 2012E 1998 1999 2000 2001 2002 2003 2004 2006 2007 2008 2009 2010
1.7%1.5% 6.6% 5.0% 4.1% 4.2% 3.3% 12.8%
Long-term average default rate High-yield bonds: 4.3% Leveraged loans: 4.0%
Loan default rate

9.1% 8.0% 6.3% 6.0%
10.3%
3.9% 3.0% 2.0% 2.0% 1.8% 1.5% 0.8%
2.3% 2.3% 1.1% 1.0%0.9% 0.5% 0.4%0.2%
Note: 2010 default rates represent the ltm numbers as of November. Source: J.P. Morgan.
By way of example, if our 2011 default forecasts bear out, this would equal roughly $15.0 billion of defaulted bonds and $11.9 billion of defaulted loans, or alternatively, it would include every bond and loan priced below 62 cents on the dollar today. For their part, the distressed ratios in the high-yield bond and loan markets, defined as bonds trading at or below 50 cents and loans trading at or below 70 cents, are 0.3% and 3.4%, respectively. In support of our forecast, historically, roughly half of the distressed volumes have defaulted over the next twelve months, and as such, are also predicting very low default volumes in 2011.
Distressed high-yield bond debt remains negligible
Percent of Par <= 25% 25% < par <= 50% 50% < par <= 70% 70% < par <= 100% > 100% Total
Institutional loans by price buckets

($bn) 7.1 7.2 41.2 48.3 247.6 73.3 424.7 1.7% 1.7% 9.7% 11.4% 58.3% 17.3% No. Avg. issuers price 20 11 37 82 471 131 752 36.8 65.2 76.3 86.5 96.6 100.7 92.6 Change in volume 1 mo. 6 mo. 12 mo. -1.2 2.4 -1.7 -3.6 -12.1 -1.6 -17.8 -2.3 4.0 -2.9 -49.2 -39.4 59.4 -30.6 -8.4 -9.8 -25.5 -88.4 -37.7 53.6 -116.2
($bn) 0.1 2.8 18.9 255.3 687.8 964.9 0.0% 0.3% 2.0% 26.5% 71.3%
No. Avg. issuers price 1 6 17 245 655 924 11.5 40.2 61.6 93.1 105.1 100.51
Change in volume Percent 1 mo. 6 mo. 12 mo. of Par -1.2 -1.1 0.4 92.8 -76.7 14.2 -1.4 -1.8 -6.5 -169.0 249.3 70.6 -1.7 -4.4 -14.8 -132.9 324.8 170.9 $ < 60 60 <= $ < 70 70 <= $ < 80 80 <= $ < 90 90 <= $ < 100 $ >= 100 Total
13
Default activity has remained low all year

18 16 Number of defaults 14 12 10 8 6 4 2 0 Dec-08 Nov-09 Dec-09 Aug-09 Sep-09 Oct-09 Aug-10 Sep-10 May-09 May-10 Nov-10 Feb-09 Feb-10 Jan-09 Jun-09 Jan-10 Mar-09 Mar-10 Jun-10 Oct-10 Jul-09 Apr-09 Apr-10 Jul-10
10 11 10 9 9 7 6 5 3 15 16 17 17 Loan-only defaults Bond-and-loan defaults Bond-only defaults Average number of defaults Last 6 months = 3.5 6-months ending Dec 09 = 6.5 6-months ending May 09 = 14.3
8 5 3 2 2 2 5 4 4 2 4
Finally, importantly for the maturity wall, 58% of the $412 billion in bonds and loans issued this year has been used for refinancing purposes. Including 2009s issuance and amend to extend activity, the amount of debt set to mature through 2014 has now been reduced by $393 billion since the beginning of last year. More specifically, maturities for 2010, 2011, 2012, 2013 and 2014 have declined by $57 billion, $64 billion, $90 billion, $127 billion and $55 billion, respectively. As such, high-yield bond and loan maturities over the next two years are negligible, with only $180 billion coming due in 2011 and 2012. To put this into perspective, the market has already priced $239 billion of refinancing related issuance across the bond and loan market thus far in 2010. Even so, focus in the primary market over the next couple of years will continue to be directed toward maturities between 2013 and 2016, as $1.08 trillion of high-yield bonds and loans still stand to come due ($503 billion bonds and $575 billion loans). In particular, 2013 and 2014s $376 billion of institutional loans coming due equals 55% of all outstanding institutional loans.
High-yield bond and loan maturities
300 250 200
167 153 137 94 77 51 52 56 22 31 1 42 0 0 0 106 115 97 100
Change in maturities since year end 2008

Institutional leveraged loans
High-yield bonds
252
245 210 175 140 105 70 35 0 -35 -70 -105 -140 2010 2011 2012
-57 -64 -90 -127 -55 70 127 116
245
150 100 50 0 2011 2012
124 122
2013
2014
2015
2016
2017
2018
2019
2020
2021 or later
2013
2014
2015
2016
2017
2018 or later
Note: Maturity schedule as of November 9, 2010, while change is measured between December 31, 2008 and November 9, 2010. Sources: J.P. Morgan; Markit.
14
Change in high-yield bond maturities since year end 2008

250 200 150 100 50
8 41 45 86 245
Change in leveraged loan maturities since year end 2008

90 70 50 30 10 -10 -30 -50 -70 -90 -110
-99 -18 -39 -68 -64 0 30 30 82
0
-25 -22
-50
-39
-28
2010
2011
2012
2013
2014
2015
2016
2017
2018 or later
2010
2011
2012
2013
2014
2015
2016
2017
2018 or later
Note: Change is measured between December 31, 2008 and November 9, 2010. Sources: J.P. Morgan; Markit.
Spreads remain attractive

For high-yield bonds, we forecast year-end 2011 spreads and yields of T+515bp and 7.4%, respectively. We forecast a full-year 2011 return for high-yield bonds of slightly more than coupon, 9.8%, with 60% of the 91bp of expected spread tightening occurring in response to rising Treasury yields. This would represent the fourth time in the markets relatively short history that returns have remained roughly coupon or better for three consecutive years.
Expected 2011 high-yield bond return
Income component Expected spread tightening 8.4% (606bp - 515bp) current - forecast Expected rise in 5-yr Treasury rates (1.85% - 2.40%) current level - 2011 forecast -91bp
+55bp -36bp x 3.93yrs +1.4% 9.8%
Duration Price contribution Expected total return

For leveraged loans, we forecast a year-end 2011 spread and yield of L+475bp and 5.0%, respectively, with the potential for stronger returns in 2H11 versus 1H11 as investors begin to contemplate the Feds eventual exit strategy, raising the demand for floating rate loans. This would contrast with bonds, where we see their strongest return potential in the initial stages of 2011 as the reach for yield continues. In other words, the current 101bp swap adjusted yield differential between bonds and loans could hold through early 2011, but then widen in 2H11 toward the 177bp 13 year average, as investors begin to place a higher premium on floating rate products later in the year. In total, we forecast a full-year 2011 return for leveraged loans of 7.1%.
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Expected 2011 leveraged loan return

Income component Current spread Target spread Price contribution Expected total return
4.1% L+588bp L+475bp 3.0% 7.1%
For 2011, the outlook for credit fundamentals (low defaults), the US economy (4 quarters of US GDP growth above 3%), and interest rates (2.4% YE 2011 5yr Treasury yield) are consistent with tighter spreads. Valuations relative to risk free rates and defaults helps to explain why. Based on current spreads of T+606bp for bonds and L+588bp for loans, implied default rates are 5.4% and 8.7%, respectively, significantly higher than our forecasted 2011 default rates of 1.5% and 2.0%. Conversely, based on our default forecasts, spreads for high-yield bonds and loans should be T+390bp and L+355bp, respectively.
What todays high yield bond spread implies for future defaults
Actual spread 606bp Excess spread 307bp = Default loss 299bp / Par - Recov. rate (100% - 45%) = Default rate 5.4%
High yield spread estimate using our 1.5% default rate forecast
Par - Recov. rate (100% - 45%) x
Default rate 1.5%
Default loss 83bp
Excess spread 307bp
Forecast 390bp
What todays loan spread implies for future defaults

Actual spread 588bp Excess spread 285bp = Default loss 303bp / Recov. rate (100% - 65%) = Default rate 8.7%
Bank loan spread estimate using our 2.0% default rate forecast
Par - Recov. rate (100% - 65%) x
Default rate 2.0%
Default loss 70bp
Excess spread 285bp
Forecast 355bp
While spreads will probably not tighten to these levels over the next 12 months given our Treasury and Libor rate forecasts next year (this would infer yields of 6.3% for high-yield bonds and 3.75% for leveraged loans), it highlights the attractiveness of both markets relative to default risk. In other words, economic and/or interest rate surprises stand a high chance of being absorbed at these spreads. But lets be clear, even a 7.72% yield for high-yield bonds and 6.19% yield for loans, absent any further compression, look attractive in the current environment. We presume investors will see it this way too, and thus, our base-case forecast for 2011 incorporates prices similar to current levels.
16
Yields for high yield are attractive

High Yield 7.72% Leveraged Loans 6.19% Investment Grade 4.72% Emerging Markets Bond Yield 5.85% 2-year Treasury 0.54% 5-year Treasury 1.75% 10-year Treasury 3.16% FNMA 30-year Mortgage 4.04%
7-Dec-10
In terms of bonds versus loans, we prefer bonds over loans in early 2011 given a comparably low current income component for loans (4.1%), than for bonds (8.4%). For perspective, these conditions led high-yield bond returns to outpace loan returns in 2010. However, we prefer loans over bonds later in the year. Fixed rate coupons will eventually become vulnerable to rising interest rates. But even before this event (not expected to see Fed Funds or Libor rates increase next year) we expect demand for loans, which carry a 5-6% yield that floats and sits senior in the capital structure, will benefit from the dearth of alternatives available to protect a portfolio against rising rates. Particularly as Treasury yields begin to rise more quickly beginning in the second-quarter as growth trends pick up. In other words, while bonds should outperform loans in early 2011, we expect more comparable returns in the second half of next year as rate fears rise, increasing demand for loans and therefore allowing prices to press higher, causing the spread between the two markets to widen, moving more in-line with the long-term average of 178bp.
Swap adjusted comparison of high-yield bond and loan yields
600bp 400bp Difference in yields 200bp 0bp -200bp -400bp -600bp Jan-97 Jan-98 Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10
13-year average = 177bp 13-year median = 154bp 30-Sep-02 559bp 16-Dec-10 98bp
Sources: J.P. Morgan; S&P/LSTA
Prefer CCCs to Bs and BBs

Currently, BB, B, and CCC-rated bond spreads are 437bp, 616bp, and 1025bp, respectively, and yields are 6.2%, 7.8%, and 11.6%. For 2011, because we expect US GDP growth to exceed consensus expectations, Treasury yields to gradually move higher, stocks to perform well, capital market accessibility to broaden, default risk to stay negligible, and high-yield bonds to provide coupon type returns, we believe a portfolio tiered toward lower-rated/higher yielding issuers will likely outperform. Thus, we recommend investors Overweight CCC-rated credits, Marketweight B-rated credits, and Underweight BB-rated credits.
17
The biggest change to the outlook recently has been the upgrade to the 2011 economic growth forecast resulting from the tax compromise proposals. Specifically, due to the implicit boost to disposable income, US GDP growth is now forecasted to expand 3.75% in 1H11, versus 2.5% prior. With GDP growth forecasted to remain above 3% for each of the next four quarters, we believe investors willingness to take on risk in 2011 has improved. Furthermore, the implications stemming from our macro forecast for capital market conditions and the recent trend toward extending capital to lower-rated credits, and thus improving the liquidity outlook, are quite supportive of current valuations. With yields on CCC-rated bonds currently 380bp and 540bp higher than yields on B or BB-rated bonds, we would likely need to see a sharp slowdown in economic growth and/or a spike in equity volatility to have CCC-rated bond returns lag higher-rated credits in 2011. Working in favor, CCC-rated bonds have the highest correlation to equity returns. As it stands, valuations for the S&P 500 based on projected earnings are quite low, the bias toward growth expectations has turned positive, and the path to EPS growth over the next 12 months has rarely been smoother. It is J.P Morgans view that the S&P 500 will end 2011 at 1425, providing an approximate 15% return, which should have positive implications for CCC-rated bond returns. Conversely, the improved willingness to take on risk in light of better economic conditions could also lead to a more gradual rise in Treasury yields. This dynamic will work against BB-rated bonds the most, and CCC and B-rated bonds are more insulated. The important element necessary for this rating tier strategy to work is that the rise in Treasury yields remains measured and orderly. While BB-rated bonds are likely to continue to benefit from crossover demand, the yield give-up is likely to be too great given our call for a 9.8% return in 2011. Now, there is a strong argument to make that investors are not being appropriately compensated for taking on the incremental macro, liquidity, and credit risk of CCCrated bonds, and therefore, a portfolio is best served today by positioning up in credit quality, where spreads are still comparatively attractive. This is the argument we have stressed since May, when we downgraded CCC-rated bonds in response to the uncertain economic climate. Up until the recent rise in rates and stock prices, a portfolio positioned up in ratings quality has been better served. With a host of issues likely to continue to plague the markets in 2011, ranging from sovereign and municipal fiscal concerns, to inflation/rate concerns, to geopolitical tensions, to an engineered slowdown in China, we do believe there are plenty of risks associated with CCC-rated bonds. Even so, because of the aforementioned background, we expect high-yield bond prices to remain steady during the next 12 months leading higher yielding credits to outperform.
18
High-yield bond spreads

High Yield 7-Dec-10 All time low 20 year median % above / below 20yr median 2003 median 2004 median 2005 median 2006 median Median 2004-2006 % above / below 2004-2006 median
Inv.Grade 159bp 74bp 101bp 57.4% 123bp 95bp 83bp 88bp 90bp 76.6%
BBB 183bp 74bp 194bp -5.9% 180bp 130bp 112bp 116bp 118bp 54.7%
BB 437bp 173bp 341bp 28.2% 420bp 281bp 254bp 244bp 252bp 73.5%
B 616bp 251bp 527bp 16.8% 620bp 439bp 347bp 336bp 352bp 74.9%
CCC 1025bp 466bp 1093bp -6.2% 1556bp 955bp 884bp 731bp 853bp 20.2%
HY - IG 448bp 176bp 411bp 8.9% 557bp 353bp 293bp 261bp 286bp 56.5%
BB - BBB 255bp 69bp 190bp 34.0% 235bp 152bp 138bp 124bp 132bp 93.6%
B - BB 179bp 58bp 180bp -0.8% 201bp 157bp 109bp 99bp 115bp 55.3%
CCC - B 409bp 210bp 572bp -28.4% 933bp 515bp 537bp 388bp 491bp -16.6%
606bp 263bp 529bp 14.6% 679bp 452bp 379bp 350bp 374bp 62.2%
Factors support demand for high yield

When we consider demand prospects for high yield in 2011, we consider expected risks, returns, and opportunity costs. As for the risks, neither the economy nor defaults are expected to present a headwind for the asset class in the next 12 months. For the economy, monetary policy is accommodative and activity in cyclical segments of the economy is already so depressed that renewed large scale declines are unlikely (such as residential investment, car sales etc). Therefore, it is likely that GDP growth in 2011 will remain positive, or otherwise, QE and government intervention would expand. Meanwhile, default rates are expected to be at or below half of their long-term average over each of the next two years, with downside surprises in the economy not expected to meaningfully alter this view. Therefore from the fundamental side of things, we do not expect demand for high-yield to retrench unless GDP growth proves too cold (negative GDP and the implicit negative impact on capital markets) or too hot (several consecutive quarters of +4% GDP growth that sparks inflation/rate fears).
Retail flows into and out of high-yield bond and loan funds
1H10: Retail flows into HY bond funds shift along with changes in market sentiment. European sovereign risks and an inability to create jobs domestically lead to sharp outflows from bonds funds in February and May. However, institutional demand for HY bonds stays relatively strong as yields across fixed income decline. Flows into leveraged loan funds remain comparatively steady.
8.0 6.0 4.0 2.0 ($bn) 0.0
HY Bond Flows 4.4 1.5 2.3 0.4 1.3 1.1
LL Fund Flows
3.0 1.9 0.9 0.8 1.0 2.0 1.5 0.1 0.9 0.3
3.9
1.6
0.3
0.7 0.5
(2.0) (4.0) (6.0) (8.0) Jan

Source: Lipper FMI.
(1.2) (2.5)
2H10: Retail flows into HY bond funds surge amid improving growth trends, but more so, falling Treasury yields and declining inflation expectations. As rate fears begin to rise in November, outflows for high-yield funds pick up. Notably, flows into floating rate leveraged loan funds reach their highest level all year against this backdrop.
(5.7)
Feb
Mar
Apr
May
June
Jul
Aug
Sep
Oct
Nov
Dec
19
As for returns and opportunity costs, with high-yield spreads trailing the relative drop in yields of more rate sensitive products, return opportunities are still attractive, while opportunity costs within fixed income are low. For example, while yields of various other fixed income asset classes reside near their all-time lows; high-grade (4.72% versus 4.34% prior to 2010); 2 and 5-year Treasuries (2-yr 0.54% versus 0.66% and 5-yr 1.75% versus 1.55%); emerging market bonds (5.85% versus 6.45%); high yield bonds and loans stand above theirs, atop the yield hierarchy. Ultimately, an active Fed purchase program, still historically low Treasury yields, and a modest upturn in the economy support demand for high-yield bonds and leveraged loans. Furthermore, spreads of T+606bp and L+588bp for bonds and loans go a long way toward protecting investors against rising defaults or rates. If Treasury yields head higher as is currently the consensus belief by YE11, current spreads should absorb the full rise in rates. From this base, a modest rise in interest rate expectations would bode well for high-yield bonds, and would especially favor less rate sensitive leveraged loans. When expectations for rate hikes increase, as they inevitably will, high-yield bonds and loans relatively low correlation to government securities should continue to make them attractive investment options. For leveraged loans in particular, we think that prospects for stronger demand in 2011 are in place. Shades of this are already showing up in retail fund flow data, and through conversations with various demand sources. Inflows into prime funds have recently increased as a result of the sharp backup in Treasury yields. Meanwhile, anecdotally, crossover demand from relative value players like hedge funds, highyield funds, multi-strategy managers, and even pension funds, endowments, and other institutional investors has increased since yields across all fixed income products declined several months ago. At the end of the day, a loan product offering a 5-6% floating rate yield with collateral protection is likely to garner significant attention in 2011.
Inflows into leveraged loan funds have been strong despite low rates
2.0 1.6 1.2 0.8 ($bn) 0.4 0.0 -0.4 -0.8 -1.2 -1.1 -1.2 -1.6 Sep-08 Sep-09 Sep-10 Nov-08 Nov-09 May-08 May-09 May-10 Nov-10 Jul-08 Jul-09 Jan-08 Jan-09 Mar-08 Mar-09 Jan-10 Mar-10 Jul-10
-0.1 -0.3 -0.1-0.2 -0.3-0.2 -0.6 -0.7 0.1 0.2 0.2 0.3 0.1 0.4 0.5 0.5 0.3 0.2 0.4 0.1 0.1 0.1 0.1 0.9 1.0 0.8 0.3 0.3 0.4 0.1 1.5 1.3 1.1 1.6
Sources: J.P. Morgan; Lipper FMI.
20
One element of our rates team forecast for next year is a rise in the spread between 10-and 2-year Treasuries to 250bp by year-end 2011, from 200bp by year-end 2010. In fact high-yield mutual fund flows are actually quite strong during periods of rising inflation expectations (see the chart below which compares the spread between 10 and 2-year Treasuries versus fund flows into high-yield mutual funds). More recently for example, the recent surge of inflows into the high-yield asset class since mid-September coincided with a 30bp increase in the spread between 10 and 2-year Treasury yields in the wake of Bernankes speech in Jackson Hole.
Inflation expectations and high-yield mutual fund flows
35 30 25 20 15 $ bn 10 5 0 (5) (10) (15)
Average spread= 83bp
Annual inflows into high-yield mutual funds Spread between 10- and 2-year Treasuries
350bp 300bp 250bp 200bp 150bp Spread
100bp 50bp 0bp -50bp -100bp
Sources: J.P. Morgan; Lipper FMI
Correlation of high yield returns to Treasuries is low

LB JPMorgan Aggregate JULI High5-year 10-year Bond Grade Treasury Treasury Index Index 10-year Treasury 0.94 LB Aggregate Bond Index 0.85 0.90 JPM JULI High-Grade Index 0.58 0.67 0.88 JPM Global HY Index -0.24 -0.18 0.18 0.46 S&P 500 -0.25 -0.19 0.02 0.22 Wilshire 5000 -0.27 -0.21 0.00 0.21 Russell 2000 -0.31 -0.25 -0.05 0.15 JPM EMBI- Global Composite 0.05 0.12 0.31 0.45 DJ World EM Stock Index -0.27 -0.23 -0.04 0.19 Gold 0.21 0.21 0.25 0.24 US Inflation -0.16 -0.21 -0.15 -0.15 Leveraged loans -0.38 -0.36 -0.03 0.23
Note: 15 years ended November 30, 2010. Source: J.P. Morgan.
Jan-85 Jan-86 Jan-87 Jan-88 Jan-89 Jan-90 Jan-91 Jan-92 Jan-93 Jan-94 Jan-95 Jan-96 Jan-97 Jan-98 Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10
JPMorgan Global HY Index
S&P 500
Wilshire 5000
JPMorgan Dow Jones EMBIWorld EM Russell Global Stock 2000 Composite Index Gold
US Inflation
0.60 0.62 0.63 0.58 0.62 0.13 0.13 0.80
0.99 0.80 0.57 0.73 -0.01 0.03 0.41
0.87 0.58 0.75 0.02 0.03 0.42
0.54 0.70 0.08 0.02 0.43
0.68 0.29 0.06 0.29
0.21 0.04 0.42
0.07 0.02
0.32
Finally, with lower volatility and a higher position in the capital structure, many investors have recognized equity-like returns can be achieved by including corporate credit in their portfolios as a replacement for equities. Indeed, high-yield credit over the past fifteen years has exhibited about half the volatility1 of the S&P 500, 7.7% versus 16.3%, while at the same time providing slightly higher annualized
1. Based on the standard deviation of monthly returns.
21
returns. This translates into a return per unit of risk for high yield of 0.84, more than double that of the S&P 500, 0.41. Meanwhile, leveraged loans provide a similar return per unit of risk compared to high yield, albeit exhibiting both lower annualized returns and volatility. This is particularly the case for loans over the past 12 months (4.8% return volatility, above levels pre-credit crisis but below levels during the crisis) after exiting a once in a lifetime technical rout at the height of the credit crisis. An important takeaway is that high-yields correlation to equity returns would remain high, and prices in both markets would move higher or lower together. But with low default risk regardless of economic data, an 8.6% coupon would cushion an investors return much as it has during past economic setbacks.2 Despite outperforming equities by more than 4% this year, we still believe high yield is an attractive way to play the upside of a continued economic recovery while also protecting against the downside of earnings and volatility surprises (sovereign and municipal woes, currency wars etc).
High-yield bonds remain excellent substitutes for equities
0.8 High-yield bonds 0.6
44%
S&P500
59%
Annual total return
0.4 0.2 0.0 -0.2 -0.4 1990

-6% -3%
31% 19% 17% 10% 8% -6% 5% -9%
28% 2%
29% 12% 11% 3% 5%
26% 14%12%
-12% -22% -27% -37%
Risk-adjusted returns
Average annual returns 1 year 3 year 5 year 10 year 15 year Fixed Income 5-year Treasury 10-year Treasury JPMorgan MBS Bond Index LB Aggregate Bond Index JPMorgan JULI High-Grade Index JPMorgan Global HY Index S&P 500 Leveraged loans US dollar global BB-rated US dollar global B-rated US dollar global CCC-rated US dollar global defaulted securities
Data as of November 30, 2010. Source: J.P. Morgan. 2. In the last 20 years, the S&P 500 has traded in negative territory for the calendar year 5 times. In all but 1990, high-yield has outperformed equities. 22
Average annual volatility 1 year 3 year 5 year 10 year 15 year 4.89% 8.75% 2.78% 3.22% 4.18% 4.70% 8.21% 3.04% 3.58% 6.94% 4.98% 8.15% 2.93% 3.80% 6.13% 4.62% 7.59% na 3.66% 5.58% 4.88% 7.58% na 4.15% 5.42%
Modified Sharpe Ratio 1 year 3 year 5 year 10 year 15 year 1.36 0.83 1.73 1.88 2.14 2.35 0.54 2.49 2.63 2.17 1.96 1.70 1.50 0.83 2.24 1.74 1.00 0.67 0.06 0.46 0.87 0.51 0.42 0.40 1.23 0.76 2.14 1.62 1.18 0.89 0.05 0.65 1.14 0.81 0.54 0.56 1.28 0.78 na 1.70 1.21 0.83 0.40 0.83 1.22 0.76 0.38 0.18 1.45 1.01 na 1.84 1.54 1.10 0.62 na na na na na
6.64% 7.30% 4.80% 6.04% 8.96%
7.03% 6.85% 6.82% 6.23% 6.93%
6.12% 6.21% 6.28% 6.15% 7.22%
5.94% 5.89% na 6.22% 6.77%
7.09% 7.67% na 7.64% 8.33% 9.30% 9.85% na na na na na
16.34% 8.72% 9.24% 7.62% 9.94% 0.98% 0.81% 6.45% 11.99% 5.07% 5.15% 5.39% 15.49% 14.42% 21.05% 27.04% 8.74% 6.12% 9.25% 10.85% 9.15% 8.10% 9.83% 11.62% 8.40% 6.86% 6.21% 3.59%
6.95% 12.98% 10.43% 9.19% 8.44% 18.38%17.59% 16.25% 16.30% 15.82% 4.81% 11.02% 7.91% 6.50% na 5.88% 10.06% 8.02% 6.63% 12.01% 10.01% 10.77%22.01% 18.13% 15.89%27.07% 20.84% 6.90% 8.99% 16.41% 19.75% na na na na
YTD10
1991
1992
1993
2000
2001
2002
2003
2004
2005
2008
2009
-0.6
Supply to remain elevated in 2011

With rates accommodative, corporate fundamentals healthy, and demand for highyield credit strong, 2010 has experienced a sharp year-over-year increase in volume for both high-yield bonds and loans. For bonds, November was the fourth consecutive month of issuance in excess of $30 billion and sixth such month this year. As such, high-yield bond issuance totals $289 billion YTD, a record and 60% higher than the previous record of $181 billion last year. Meanwhile, $130 billion of institutional loan volume YTD is also a post credit crisis high and is greater than full-year volume from 2008 and 2009 combined.
Monthly high-yield bond issuance had never topped $30 billion prior to 2010
45.0 40.0 35.0 30.0 $ bn 25.0 20.0 15.0 10.0 5.0 0.0
Apr-09 Mar-09 Mar-10 Jan-10 Apr-10 Jun-10 Jan-09 Jun-09 Jul-09 Jul-10 Aug-10 Aug-09 Sep-09 Sep-10 Feb-09 Feb-10 Nov-10 Nov-09 Dec-09 May-09 May-10 Dec-10 Oct-09 Oct-10
40.5 34.2 26.5 26.0 17.5 14.4 11.1 5.9 4.7 2.7 11.7 6.9 7.2 20.4 19.5 20.4 20.1 16.2 16.5 11.3 36.1 33.1 34.3 32.3
We anticipate elevated bond volumes as well as the recent trend toward extending credit to a broader set of issuers to continue in 2011. In addition, we expect to see improvement in primary conditions for leveraged loan issuers in 2011 after a better than three fold increase in volume year-over-year in 2010. More specifically, we forecast 2011 high-yield bond issuance of $235 billion, a slightly slower pace of issuance activity year-over-year, but one still consistent with an extremely benign backdrop for prospective issuers. For institutional leveraged loans, we forecast 2011 new-issuance of $160 billion, above this years pace of $140 billion. In other words, issuance activity will remain very strong for leveraged credit issuers in 2011.
Capital market conditions for high yield issuers should remain robust in 2011
450.0 400.0 New-issue volume ($bn) 350.0 300.0 250.0 200.0 150.0 100.0 50.0 0.0 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 YTD10 2011E
28 126 100 57 60 47 44 95 68 34 58 90 151 152 158 184 154 106 53 72 38 149 148 181 160 135 235
High-yield new-issue volume Institutional leveraged loan new-issue volume

325
388
300
23
In terms of trends, we expect lower-rated bonds to make up closer to 25% of next years bond volumes as the new-issue cycle further matures, after encompassing 18% of 2010 volume. This shift toward extending credit to lower-rated issuers has been evident since October, where 27% of 4QTD activity has been rated Split B or lower. Nevertheless, we expect lower rated activity to continue to be directed almost exclusively toward refinancing and extending maturities, rather than the leverage enhancing deals of the prior new-issue cycle, ultimately a positive for the future liquidity/default outlook. Additionally, bond for loan issuance should continue apace. There have been roughly $65 billion of such transactions in 2010, after $44 billion in 2009. While demand for loans will get stronger in 2011 as investors remain attracted to the floating rate feature and low default risk, the sheer amount of loan debt coming due in 2013 and 2014 will likely require a high level of participation from bond issuance. Expect similar numbers in 2011. Finally, in terms of net new volumes (gross issuance minus redemptions), we expect roughly $150 billion of net new issuance of high-yield bonds (close to this year, as gross volume falls but proceeds broaden and bond-for-loan takeouts continue apace) and a modest $15 billion net new issuance of leveraged loans (versus slightly negative to flat net volumes in 2010 due to elevated pay-down activity).
24
Peter D. Acciavatti (1-212) 270-9633 peter.acciavatti@jpmorgan.com Tony Linares (1-212) 270-3285 tony.linares@jpmorgan.com Nelson R. Jantzen (1-212) 270-1169 nelson.r.jantzen@jpmorgan.com Alisa Meyers (1-212) 834-9151 alisa.meyers@jpmchase.com
2
Performance review
25
2010 performance highlights

Year to date through November 30, the J.P. Morgan Global High-Yield Index returned +12.9%, outperforming the 10-year Treasury (+12.8%), investment-grade corporate bonds (+10.0%), emerging market corporate bonds (+12.4%), leveraged loans (+8.8%), and the S&P 500 (+7.9%). The average spread on the J.P. Morgan Global High Yield Index decreased 13bp to 644bp. The average yield of the high-yield market decreased 110bp to 7.91%. Meanwhile, the yield on the 5-year and 10-year Treasuries decreased 121bp and 104bp to 1.47% and 2.80%, respectively. CCC-rated bonds returned +15.7%, outperforming B-rated bonds, which returned +11. 9%, and BB-rated bonds, which returned +12.8%. All of the 23 industries in the J.P. Morgan Global High-Yield Index provided investors with positive returns in 2010. The best performing sector was Financial (19.2%), followed by Broadcasting (18.8%). Other sectors that performed well were Transportation, Chemicals, and Automotive (18.7%, 18.2%, and 15.7%, respectively). High-yield volatility decreased significantly in 2010, evidenced by the J.P. Morgan Global High-Yield Indexs average daily eight-month price change, which decreased from 5.45 at year-end 2009 to 2.69 as of November 30. Momentum, as measured by the advance/decline ratio for the J.P. Morgan Global High-Yield Index, remained high. Essentially, for every bond in the index whose price decreased from December 2009 to November 30, four bonds had price increases. Through November 30, 600 new deals priced for a record-high $277 billion, following last years full-year total of 408 issues and $181 billion. Following inflows of $31.9 billion and $3.4 billion last year, high-yield bond and bank loan funds welcomed $10.8 billion and $9.5 billion, respectively in 2010. Default activity declined in 2010, following last years record-high volume. Through November 30, 41 companies defaulted, affecting a combined $19 billion in bonds and loans, compared with 120 defaults and a record-high $185 billion in full-year 2009. The high-yield bond par-weighted bond default rate decreased to 0.74% from 10.27%, while, the default rate for loans decreased to 2.18% from 12.78%. Credit conditions remained strong throughout 2010, as upgrades outnumbered downgrades in each of the years first 11 months and 15 consecutive months dating back to September. Overall there were 349 upgrades totaling $334 billion of bonds, compared with 241 downgrades totaling $197 billion, which equates to an upgrade-to-downgrade ratio by issuer of 1.45:1.
26
2
2010: year in review
Modest economic growth, improving corporate conditions, strong retail inflows, accommodative primary market conditions, and a sharp decline in default activity led to a strong 12.9% total return for high-yield bonds in 2010 (through November 30). By comparison, the leveraged loan market, as measured by the S&P/LSTA Leveraged Loan Index, returned +8.8, the S&P 500 returned +7.9%, the Russell 2000 returned 17.5%, investment-grade bonds, as measured by the J.P. Morgan JULI High-Grade Index returned +10.0%, the 5-year and 10-year Treasuries returned +9.6% and 12.8%, respectively, and emerging market bonds, measured by the J.P. Morgan Emerging Market Global Bond Index, returned +12.4%.
Returns of various assets

JPMorgan Global HY Index Leveraged loans JPMorgan JULI 10 Year Tsy EMBI-Global S&P 500 Russell 2000 FTSE 100 MSCI Europe EM stocks CDX HY LCDX 2002 2.14% 1.91% 10.98% 14.63% 13.12% -22.10% -22.01% -21.95% -17.44% -11.14% -7.52% 2003 27.50% 9.97% 7.86% 1.73% 25.66% 28.69% 47.29% 18.39% 39.64% 45.88% 15.04% 2004 11.55% 5.17% 5.28% 4.68% 11.73% 10.87% 18.45% 11.64% 21.66% 24.38% 2.86% 2005 3.07% 5.08% 1.68% 1.93% 10.73% 4.93% 4.63% 21.28% 10.83% 26.03% 4.75% 2006 11.45% 6.77% 4.29% 1.44% 9.88% 15.80% 18.44% 14.89% 34.54% 26.15% 8.67% 2007 2.88% 2.00% 5.34% 9.76% 5.86% 5.49% -1.56% 7.59% 15.75% 28.79% -2.49% 2008 -26.83% -29.10% -1.84% 20.22% -10.91% -37.00% -33.49% -27.99% -47.34% -51.64% -12.45% -17.28% 2009 58.90% 51.62% 16.72% -8.76% 28.18% 26.46% 27.18% 27.90% 78.58% 77.69% 19.47% 27.31% 1Q10 4.72% 4.64% 2.28% 0.99% 4.16% 5.39% 8.85% 6.09% 2.34% 2.04% 1.12% 2.46% 2Q10 3Q10 0.08% 6.34% -1.27% 3.31% 3.75% 4.55% 8.48% 4.65% 1.16% 8.33% -11.43% 11.29% -9.92% 11.29% -12.40% 13.86% -8.28% 18.10% -8.31% 17.93% -2.54% 6.17% -2.02% 3.82% 4Q101 1.32% 1.90% -0.87% -1.60% -1.52% 3.82% 7.70% 0.14% 0.21% 0.07% 2.02% 0.66% 20101 12.92% 8.76% 9.98% 12.81% 12.41% 7.86% 17.53% 5.96% 11.10% 10.41% 6.75% 4.91%
1. 4Q10 and 2010 returns are through November 30. Source: J.P. Morgan.
After a very strong start to the year (+2.2% during first 9 trading days), a host of headlines overshadowed an otherwise strong corporate earnings period, and led to a difficult landscape for investors. Specifically, fiscal challenges faced abroad by Greece and challenges domestically generating job growth, coupled with China reigning in lending, led to weaker prices for risky assets in the final two weeks of January. This led to a series of outflows from high-yield bond funds, a halt to the record pace of new-issuance, and the most significant sell-off since March 2009. In the 4-week period ending February 12th, high-yield bonds returned -2.4%, pushing into negative territory on a YTD basis (-0.3%). This correction soon passed. An improving growth backdrop, a benign inflationary environment, and few higher yielding alternatives proved to be an ideal backdrop for high yield, not only in terms of performance (high-yield bonds returned 7.4% from mid February through April), but also for new-issuance. Specifically, Marchs $40.5 billion of new-deal volume easily topped the previous record month, $29.3 billion in November 2006, while the $34.2 billion in April became the second largest month of activity. By the end of April, high-yield bonds had posted a total return of 7.1% and new issuance totaled $111 billion.
27
Plaguing markets in May were a laundry list of issues which taken collectively represented a significant uncertainty with strong implications for the global economic recovery. Chiefly among them were worries around European sovereigns, the potential effects on global GDP growth stemming from European fiscal austerity measures, uncertainty regarding financial regulatory reform, China engineering a slowdown, renewed geopolitical concerns with respect to the Korean peninsula, and an unprecedented oil spill off the Gulf coast. Without any resolution or strong visibility on any of these topics, market volatility surged, with high-yield credit in tow. In particular during the month, the VIX reached a 14-month high, the 2-year Treasury yield approached an all-time low, and the S&P 500 dipped 8.0%, the worst monthly decline for stocks since February 2009. High yield suffered in concert, with the asset class returning -3.4%, while also experiencing its worst bout of retail outflows on record ($5.7 billion), and a sharp slowdown in new-issue activity, as only $6.9 billion priced, the lightest monthly volume for bond issuance since March 2009. Amidst declining volatility, strong corporate earnings, and a benign default backdrop, high-yield bonds generally performed well over the remainder of the year. Specifically, the VIX declined from its peak of 36.57 in early June to a low of 18.04 in mid-November. New-issue activity surged, with $160 billion pricing between June and November, including four consecutive months of more than $30 billion (a feat never achieved prior to 2010). Default activity remained low, with only 14 companies defaulting on $6.6 billion. Ultimately, risk appetites remained healthy and the reach for yield continued. High-yield mutual funds reported inflows in all but November, for a net inflow of $11.8 billion during the six-month period. And the market provided a 9.1% total return, while the S&P returned 9.5%, both outperforming institutional bank loans (4.8%), investment-grade bonds (5.8%), and the 10-year Treasury (6.3%).
High yields cumulative performance year to date
16.0% High-yield cumulative total return 14.0% 12.0% 10.0% 8.0% 6.0% 4.0% 2.0% 0.0% -2.0% 20-Aug 31-Dec 12-May 26-May 20-Sep 17-Nov 6-Aug 16-Feb 15-Jan 10-Jun 24-Jun 3-Sep 14-Apr 16-Mar 30-Mar 28-Apr 19-Oct 23-Jul 2-Nov 1-Feb 2-Mar 4-Oct 9-Jul 12-Feb -0.29% 25-May +2.54% 30-Apr +7.12% 9-Nov +15.33%
30-Nov +12.92%
28
2
2003 27.50% 37.66% 20.37% 23.94% 20.84% 27.30% 26.80% 33.94% 20.49% 37.74% 27.47% 27.66% 2004 11.55% 14.72% 14.02% 22.73% 15.32% 14.99% 11.10% 15.55% 13.10% 19.57% 11.25% 16.43% 2005 3.07% 7.12% 4.61% 4.25% 4.57% 5.26% 2.42% 8.19% 9.23% 9.36% 2.62% 9.70% 2006 11.45% 10.68% 9.66% 12.32% 9.25% 9.60% 11.56% 10.64% 8.27% 11.88% 11.58% 9.69% 2007 2.88% 3.70% -1.35% 0.68% -0.74% 0.37% 2.58% 5.33% 8.41% 5.39% 2.69% 6.29% 2008 -26.83% -30.17% -34.86% -19.80% -31.35% -31.73% -26.55% -29.22% -28.95% -21.55% -26.80% -27.22% 2009 58.90% 69.31% 73.44% 45.31% 68.42% 70.20% 58.18% 65.20% 65.44% 38.87% 58.76% 61.96% 1Q10 4.72% 5.49% 7.66% 7.16% 7.38% 6.99% 4.56% 5.86% 7.68% 4.66% 4.58% 7.01% 2Q10 0.08% -0.99% -2.00% -0.17% -1.80% -1.54% 0.20% -0.78% -0.51% -0.09% 0.11% -0.57% 3Q10 4Q101 20101 6.34% 1.32% 12.92% 7.80% 1.49% 14.27% 6.62% -0.14% 12.33% 7.53% 0.10% 15.14% 6.82% -0.09% 12.53% 7.02% 0.25% 13.02% 6.08% 1.33% 12.62% 8.05% 1.28% 14.94% 9.36% -0.74% 16.29% 7.05% 1.27% 13.36% 6.23% 1.39% 12.76% 7.79% 0.48% 15.24%
Returns of J.P. Morgan high-yield indices

2002 JPM Global HY Index 2.14% JPM US$ European HY Index -19.68% JPM Euro HY Index -8.60% JPM Sterling HY Index -12.06% JPM European Currency HY Index -9.41% JPM European Aggregate HY Index -13.75% JPM Domestic HY Index 3.20% JPM International HY Index -7.41% JPM Asian HY Index 21.37% JPM Latin American HY Index -4.19% JPM Developed Market HY Index 1.98% JPM Emerging Market HY Index 5.08%
By rating, performance was somewhat bifurcated, as lower rated bonds outperformed higher rated bonds, illustrating investors strong bid for yield. Specifically, CCC-rated bonds returned +15.7%, outperforming B-rated bonds, which returned +11. 9%, and BB-rated bonds, which returned +12.8%.
J.P. Morgan Global High-Yield Index
20101 total returns by rating
20.0% 18.0% 16.0% 14.0% 12.0% 10.0% 8.0% 6.0% 4.0% 2.0% 0.0%
17.0%
15.7% 12.9% 12.8% 12.1% 11.9% 11.9% 10.5%
Not rated
CCC
BB
Split BBB
Split BB
Split B
1. Through November 30, 2010. Source: J.P. Morgan.
All of the 21 industries in the J.P. Morgan Global High-Yield Index provided investors with positive returns in 2010. The best performing sector was Financial (19.2%), followed by Broadcasting (18.8%). Other sectors that performed well were Transportation, Chemicals, and Automotive (18.7%, 18.2%, and 15.7%, respectively). Amongst the worst performing sectors were Utility (+4.37%), Retail (+9.55%), Paper & Packaging (+10.76%), Telecommunications (+10.79%), and Services (+10.97%).
29
J.P. Morgan Global High-Yield Index

20101 total returns by industry
Telecommunications
Cable and Satellite
Diversified Media
Automotive
Gaming Lodging and Leisure
Metals and Mining
Chemicals
Transportation
Technology
Financial
Industrials
Services
Housing
Broadcasting
Healthcare
J.P. Morgan Global High-Yield Index performance by sector

Cyclical Defensive Energy Upper Tier (Split BBB, BB) Middle Tier (Split BB, B, Split B) Lower Tier (CCC, Default) Cash Deferred Default 3 - 4 yr Duration 5 - 6 yr Duration 7 - 10 yr Duration $0 mn to $100 mn $101 mn to $299 mn $300 mn and over Senior Secured Senior Senior Subordinate Junior Subordinate JPMorgan Global HY Index 2002 8.57% -5.67% 7.40% 6.27% 3.84% -12.29% 3.56% -11.49% -10.24% 5.98% -0.38% -4.15% 7.27% 6.78% -1.97% 3.70% 0.76% 7.85% -19.43% 2.14% 2003 22.54% 34.39% 22.96% 18.03% 25.96% 56.55% 25.37% 74.38% 59.87% 30.80% 27.04% 51.96% 20.19% 23.56% 30.53% 27.38% 28.87% 20.85% 73.67% 27.50% 2004 2005 12.12% 1.41% 10.71% 4.43% 13.06% 6.07% 9.33% 3.09% 11.11% 3.83% 18.21% -1.11% 11.24% 3.07% 18.50% 1.56% 16.36% 4.91% 10.60% 2.73% 12.62% 2.54% 15.48% 5.31% 14.90% 3.74% 11.98% 4.22% 11.12% 2.51% 13.52% 5.00% 11.12% 2.76% 11.15% 3.07% 18.35% 3.38% 11.55% 3.07% 2006 2007 11.92% 0.99% 11.76% 4.57% 6.72% 5.85% 8.49% 3.33% 10.76% 3.67% 22.80% -1.09% 10.71% 2.98% 20.67% 7.49% 35.86% -10.40% 11.00% 2.44% 12.19% 3.20% 13.52% 4.38% 14.10% 5.87% 11.09% 3.84% 11.51% 2.48% 13.46% 3.39% 11.09% 2.88% 10.70% 2.12% 20.12% 5.78% 11.45% 2.88% 2008 -30.77% -22.32% -26.21% -16.40% -28.80% -47.64% -26.37% -39.88% -59.56% -33.87% -17.33% -24.24% -25.11% -25.31% -27.18% -29.80% -26.29% -27.02% -34.28% -26.83% 2009 1Q10 66.27% 5.84% 51.61% 3.27% 55.19% 3.79% 42.85% 3.98% 49.27% 3.67% 118.66% 8.83% 54.77% 4.44% 165.33% 3.15% 179.79% 17.91% 68.45% 5.13% 54.98% 4.80% 75.29% 3.35% 42.98% 6.39% 54.29% 5.46% 60.35% 4.53% 47.29% 4.53% 59.28% 4.77% 62.77% 4.32% 93.49% 6.72% 58.90% 4.72% 2Q10 -0.10% 0.59% -0.61% 0.86% -0.01% -1.36% 0.25% -2.25% -5.22% -0.25% -0.53% 3.05% 3.33% 1.17% -0.19% -0.40% 0.15% 0.38% 2.08% 0.08% 3Q10 6.36% 6.05% 7.15% 6.69% 6.30% 5.85% 6.36% 8.31% 2.71% 6.89% 7.78% 8.92% 5.10% 4.85% 6.68% 6.28% 6.51% 5.42% 6.89% 6.34% 4Q10 1.68% 0.85% 1.02% 0.61% 1.36% 2.84% 1.22% 3.79% 4.26% 1.50% 1.39% 0.22% 2.25% 2.25% 1.13% 2.14% 1.01% 1.38% 0.13% 1.32% 20101 14.34% 11.11% 11.66% 12.58% 11.67% 16.85% 12.71% 13.35% 19.67% 13.77% 13.92% 16.26% 18.15% 14.37% 12.56% 13.02% 12.89% 11.92% 16.60% 12.92%
30
Paper and Packaging
Food and Beverages
Consumer Products
Energy
Retail
Utility
22.0% 20.0% 18.0% 16.0% 14.0% 12.0% 10.0% 8.0% 6.0% 4.0% 2.0% 0.0%
19.2% 18.8% 18.7% 18.2% 15.7% 14.0% 14.0% 13.6% 13.1% 12.9% 12.8% 12.7% 12.6% 12.0% 11.8% 11.7% 11.3% 11.0% 10.8% 10.8%
9.6%
4.4%
2
High-yield performance drivers
20101 1Q10 -1bp 4.2x 4.72% -49bp 76,798 2,386 2Q10 -88bp 0.4x 0.08% 121bp 48,227 -2,808 3Q10 -44bp 8.1x 6.34% -70bp 85,696 9,757 4Q101 28bp 1.1x 1.32% -15bp 66,606 1,727 20101 104bp 4.0x 12.92% -13bp 277,327 11,061 Treasury change Advance/decline Return Spread change (- tightened) (+ widened) New-issue volume ($ mn) Mutual fund cash flows ($ mn)
1. Through November 30, 2010. Sources: J.P. Morgan; Lipper FMI.
2009 Treasury change Advance/decline Return Spread change (- tightened) (+ widened) New-issue volume ($ mn) Mutual fund cash flows ($ mn)
Sources: J.P. Morgan; Lipper FMI.
1Q09 44bp 1.6x 6.07% -201bp 13,377 8,946
2Q09 84bp 8.4x 22.47% -512bp 55,040 11,073
3Q09 -21bp 17.4x 15.08% -240bp 52,033 6,292
4Q09 53bp 5.8x 6.29% -121bp 60,300 5,546
2009 159bp 13.4x 58.90% -1074bp 180,749 31,856
Spreads
While the average spread on the J.P. Morgan Global High Yield Index decreased 13bp to a 644bp during the year, it fluctuated 163bp between a high of 737bp and a low of 574bp. At current levels, spreads remain 9.10% above their long-term average of 591bp. The average yield of the high-yield market decreased 110bp to 7.91%, while yields on the 5- and 10-year Treasuries decreased 121bp and 104bp to 1.47% and 2.80%, respectively.
Average spread to worst in the high-yield market1

2200bp 2000bp 1800bp Spread to Worst 1600bp 1400bp 1200bp 1000bp 800bp 600bp 400bp 200bp Jan-87 Jan-88 Jan-89 Jan-90 Jan-91 Jan-92 Jan-93 Jan-94 Jan-95 Jan-96 Jan-97 Jan-98 Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Dec-08 Dec-09
Long-term average (1987 - 2010)= 591bp
16-Dec-08 1925bp Dec-90 1096bp
Oct-02 1061bp
Nov-10 644bp
May-07 269bp
1. Only US dollar-denominated corporate bonds are included. Source: J.P. Morgan. 31
Historical yield curves

5.5% 5.0% 4.5% 4.0% 3.5% 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% 0.0%
31-Dec-09 30-Nov-10
Yield
2010 change in yields: 2-year -68bp 5-year -121bp 10-year -104bp

3 Month 1 Year
Premium to Treasury and spread to worst

2000bp 1800bp 1600bp Spread to worst 1400bp 1200bp 1000bp 800bp 600bp 400bp 200bp 0bp Jan-87 Jan-88 Jan-89 Jan-90 Jan-91 Jan-92 Jan-93 Jan-94 Jan-95 Jan-96 Jan-97 Jan-98 Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10 30-Nov-10 644bp 30-Nov-10 230.59% Spread to worst Premium to Treasury 800.0% 700.0% 600.0% 500.0% 400.0% 300.0% 200.0% 100.0% 0.0% Premium to Treasury
In 2010, spreads for all rating categories increased year over year, led by single-Bs, which increased 26bp to 655bp. The average spread of double-Bs increased 13bp to 472bp, while the average spread of triple-Cs ticked up 7bp to 1088bp. As of November 30, both BB-rated and B-rated bonds traded wide to their long-term averages, 30.2% above 363bp and 13.8% above 575bp, respectively, while CCC-rated bonds traded 12.1% inside their long-term average of 1237bp. As of November 30, the differential in yield to worst between BB-rated bonds (6.36%) and B-rated bonds (7.98%) was 162bp, up 29bp from 132bp at the start of the year, and below to its long-term historical average of 212bp. The difference in yields between B-rated bonds (7.98%) and CCC-rated bonds (12.14%) was 416bp, down from 479bp at the end of 2009, and below its historical average of 691bp.
32
30 Year
10 Year
5 Year
2
Spreads in the high-yield market
JPMorgan Global HY Index 408bp 472bp 339bp 351bp 631bp 538bp 942bp 861bp 958bp 484bp 344bp 378bp 317bp 589bp 1731bp 657bp 644bp -49bp 121bp -70bp -15bp -13bp CCC/ Split CCC 1051bp 1013bp 1123bp 926bp 1503bp 1452bp 2484bp 2351bp 2368bp 1033bp 718bp 822bp 606bp 969bp 3139bp 1082bp 1088bp -96bp 169bp -33bp -34bp 7bp 30-Dec-94 29-Dec-95 31-Dec-96 31-Dec-97 31-Dec-98 31-Dec-99 29-Dec-00 31-Dec-01 31-Dec-02 31-Dec-03 31-Dec-04 30-Dec-05 29-Dec-06 31-Dec-07 31-Dec-08 31-Dec-09 30-Nov-10 Spread change 1Q10 2Q10 3Q10 4Q101 20101 Split BBB 212bp 184bp 129bp 137bp 319bp 263bp 409bp 344bp 442bp 217bp 170bp 252bp 158bp 314bp 1024bp 384bp 383bp -42bp 92bp -47bp -4bp -2bp BB 270bp 306bp 214bp 229bp 375bp 300bp 451bp 471bp 591bp 292bp 210bp 256bp 206bp 444bp 1182bp 459bp 472bp -33bp 109bp -60bp -4bp 13bp Split BB 343bp 394bp 281bp 288bp 518bp 429bp 881bp 655bp 720bp 369bp 254bp 243bp 234bp 443bp 1346bp 550bp 548bp -43bp 99bp -66bp 7bp -2bp B 450bp 562bp 382bp 367bp 615bp 483bp 900bp 733bp 858bp 462bp 328bp 356bp 313bp 565bp 1698bp 629bp 655bp -23bp 130bp -58bp -24bp 26bp Split B 738bp 769bp 573bp 538bp 939bp 976bp 1779bp 1445bp 1487bp 734bp 490bp 526bp 409bp 734bp 2086bp 812bp 823bp -46bp 146bp -80bp -10bp 10bp
Spread to worst by rating

3600 bp 3000 bp Spread to worst 2400 bp 1800 bp 1200 bp 600 bp 0 bp Jan-87 Jan-88 Jan-89 Jan-90 Jan-91 Jan-92 Jan-93 Jan-94 Jan-95 Jan-96 Jan-97 Jan-98 Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10 BB spread to worst B spread to worst CCC spread to worst
33
Spread between issues rated BBB and BB

600 bp Spread difference in yields 500 bp 400 bp 300 bp 200 bp 100 bp 0 bp Jan-89 Jan-90 Jan-91 Jan-92 Jan-93 Jan-94 Jan-95 Jan-96 Jan-97 Jan-98 Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-09 Jan-09 Jan-10 Jan-10 Jan-10
Average= 128bp Median= 112bp
30-Nov-10 156bp
Spread between issues rated BB and B

600bp Spread difference in yields 500bp 400bp 300bp 200bp 100bp
30-Nov-10 162bp Average= 213bp Median= 184bp
0bp Jan-89 Jan-90 Jan-91 Jan-92 Jan-93 Jan-94 Jan-95 Jan-96 Jan-97 Jan-98 Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-07 Jan-08 Jan-08
Spread between issues rated B and CCC

2000 bp Spread difference in yields 1750 bp 1500 bp 1250 bp 1000 bp 750 bp 500 bp 250 bp 0 bp Jan-89 Jan-90 Jan-91 Jan-92 Jan-93 Jan-94 Jan-95 Jan-96 Jan-97 Jan-98 Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06
30-Nov-10 416bp Average= 691bp Median= 542bp
34
2
By industry, eleven of the twenty one industries in the J.P. Morgan Global HY Index tightened year to date, led by Financial (-172bp), Transportation (-115bp), and Broadcasting (-115bp). Meanwhile, Technology (+60bp), Utility (+56bp) and Telecommunications (+45bp) all experienced the greatest y/y increase in spreads. As of November 30, all of the 21 industries that comprise the index traded inside of 800bp, but wide of 500bp. Diversified Media sector had the highest spread for any industry (800bp), while Chemicals, at 534bp, was lowest spread for any industry.
Spreads in the high-yield market

30-Dec-05 29-Dec-06 31-Dec-07 Automotive 649bp 382bp 658bp Broadcasting 337bp 329bp 625bp Cable and Satellite 456bp 367bp 627bp Chemicals 305bp 296bp 498bp Consumer Products 589bp 373bp 668bp Diversified Media 409bp 348bp 827bp Energy 244bp 264bp 446bp Financial 442bp 216bp 791bp Food and Beverages 428bp 353bp 608bp Gaming Lodging and Leisure 289bp 290bp 603bp Healthcare 324bp 342bp 538bp Housing 440bp 386bp 1038bp Industrials 439bp 350bp 565bp Metals and Mining 324bp 292bp 454bp Paper and Packaging 484bp 392bp 660bp Retail 412bp 331bp 629bp Services 431bp 368bp 633bp Technology 317bp 319bp 560bp Telecommunications 320bp 259bp 494bp Transportation 364bp 342bp 595bp Utility 220bp 209bp 425bp JPMorgan Global HY Index 378bp 317bp 589bp
1. 4Q10 and 2010 data is through November 30. Source: J.P. Morgan.
31-Dec-08 31-Dec-09 30-Nov-10 2740bp 607bp 565bp 3414bp 860bp 745bp 1747bp 619bp 641bp 1942bp 601bp 534bp 2006bp 721bp 635bp 3113bp 866bp 800bp 1468bp 596bp 609bp 2165bp 799bp 627bp 1646bp 620bp 638bp 2340bp 771bp 741bp 1237bp 607bp 602bp 2108bp 682bp 699bp 1428bp 645bp 598bp 1529bp 551bp 569bp 1794bp 624bp 655bp 1714bp 621bp 600bp 1748bp 727bp 756bp 2152bp 708bp 768bp 1258bp 578bp 623bp 1932bp 737bp 621bp 1032bp 642bp 698bp 1731bp 657bp 644bp
1Q10 -66bp -52bp -4bp -68bp -108bp -62bp -16bp -164bp -81bp -51bp -33bp -70bp -47bp -83bp -42bp -41bp -12bp -40bp -18bp -135bp 72bp -49bp
2Q10 96bp 109bp 129bp 116bp 86bp 115bp 146bp 79bp 129bp 99bp 88bp 167bp 88bp 136bp 122bp 126bp 136bp 214bp 129bp 140bp 62bp 121bp
Spread Change 3Q10 4Q101 -119bp 48bp -101bp -70bp -116bp 13bp -92bp -23bp -20bp -44bp -53bp -66bp -83bp -34bp -74bp -13bp -37bp 7bp -17bp -61bp -54bp -6bp -66bp -14bp -44bp -43bp -82bp 46bp -1bp -47bp -106bp 0bp -72bp -22bp -101bp -14bp -62bp -4bp -98bp -22bp -79bp 0bp -70bp -15bp
20101 -42bp -115bp 22bp -67bp -87bp -66bp 13bp -172bp 18bp -30bp -5bp 17bp -47bp 18bp 31bp -21bp 29bp 60bp 45bp -115bp 56bp -13bp
Volatility
High-yield volatility decreased significantly in 2010, evidenced by the J.P. Morgan Global High-Yield Indexs average daily eight-month price change, which decreased from 5.45 at year-end 2009 to 2.69 as of November 30, 2010. Additionally, the J.P. Morgan Global High-Yield Indexs twelve-month total-return volatility decreased from 11.61% at the end of last year to 6.48%, the lowest level since March 2008. Equity-market volatility similarly declined in 2010. Volatility, as measured by the Chicago Board of Options Exchanges SPX Volatility Index (VIX), which reflects a market estimate of future volatility, averaged 23.03 during the year, compared with a daily average of 31.48 in 2009. During the course of 2010, the VIX declined to a low of 15.58 on April 12, climbed to a high of 45.79 on May 20, and then gradually declined to 23.54 by the end of November. By comparison, the 16-year average for the VIX is 21.6.
35
High-yield and equity market volatility

13.5 12.0 10.5 High-yield volatility 9.0 7.5 6.0 4.5 3.0 1.5 0.0 Dec-94 Dec-95 Dec-96 Dec-97 Dec-98 Dec-99 Dec-00 Dec-01 Dec-02 Dec-03 Dec-04 Dec-05 Dec-06 Dec-07 Dec-08 Dec-09 10 0 50 40 30 20 Equity volatility JPMorgan Global HY Index 8-month price volatility Chicago Board of Options Exchange SPX Volatility Index (VIX) 70 60
Momentum
In 2010, momentum, as measured by the advance/decline ratio for the J.P. Morgan Global High-Yield Index, remained high, following the last years record high ratio. In 2010, the YTD advance/decline ratio through November 30 was 4-to-1, compared with 2009s ratio of 13-to-1. Another indication of the markets strong momentum is evidenced by the markets average price, which increased to $103.3 as of November 30, from $99.9 at the start of the year (average prices are based on non-defaulted bonds in the J.P. Morgan Global High Yield Index).
JPMorgan Global High-Yield Index
Monthly advance/decline ratio
12.0 10.0
8.4 11.8
8.0 6.0 4.0 2.0 0.0 Apr-06 Apr-07 Apr-08

3.8 3.5
7.4 5.3 3.4 3.6 3.8 2.6 2.6 2.7 2.1 1.7
8.0 7.0 6.9 5.1 4.4
2.92.8 2.7 2.32.6 2.0 1.7 1.6 1.51.6 1.4 1.2 1.1 0.81.1 0.9 0.60.6 0.8 0.9 0.8 1.0 0.60.80.4 0.30.3 0.10.00.2 0.2 0.3 0.2 0.10.1
1.7 0.9 0.1 0.3
0.6
Apr-09
Apr-10
Jul-06
Jul-07
Jul-08
Jul-09
Jan-06
Jan-07
Jan-08
Jan-09
Jan-10
Oct-06
Oct-07
Oct-08
Oct-09
Jul-10
Primary market activity

Through November 30, 600 new deals priced for a record $277 billion, a 53% increase over last years full-year total and previous record of 408 issues and $181 billion. Over the course of the year, monthly volumes exceeded $30 billion on six occasions, including a record-high $40.5 billion in March. This is an impressive feat, especially as new-issue volumes had never topped $30 billion in a month before 2010. Aside for a slow-down during the second quarter, in which a still respectable $48.2 billion priced, quarterly volumes set record highs in 1Q ($76.8 billion), 3Q
36
Oct-10
2
($85.7 billion), and 4Q (on pace for more than $100 billion). For perspective, the previous high was $61.3 billion in 2Q07. Separately but also indicative of the strength of the high-yield primary market, 95 non-dollar deals priced for US-equivalent $53.2 billion, surpassing previous annual new-issuance record of US$33.4 billion in 2006. One notable development in the high-yield bond primary market was the increasing trend toward more lower-rated issuance. Specifically, $46.8 billion of CCC bonds were issued, which ranks second all-time behind 2007s $52 billion. However its important to note the majority of lower rated issuance this year was used for refinancing, unlike in 2007 when almost none of the CCC issuance was refinance related. Specifically, $32.3 billion of this years $46.8 billion of CCC issuance was used to refinance (69%), compared with only $4.7 billion of 2007s $52 billion of CCC issuance was for refinancing (9%). For more on new-issue activity and trends in the primary market please see section 3 of this publication, New-issue review.
Monthly new issuance volume

40.5
40.0 35.0 30.0 $ bn 25.0

20.4 26.5 26.0 20.4 20.1 16.2 11.7 6.9 7.2 4.7 2.7 16.5 34.2 33.1
36.1 34.3
32.3
20.0 15.0 10.0 5.0 0.0

3.2 1.4 3.4 4.7 14.3
17.3 11.1 5.0 0.9 1.2 0.8 0.0 0.7 5.9
17.5 14.4
19.5
May-08
May-09
May-10
Sep-08
Sep-09
Sep-10
Mar-08
Mar-09
Mar-10
Jan-08
Jan-09
Jan-10
Jul-08
Jul-09
Nov-08
Nov-09
Jul-10
Annual new issuance volume

300.0 277.3 275.0 250.0 225.0 200.0 180.7 175.0 149.1 150.8 151.6 158.2 147.9 150.0 126.0 125.0 106.1 99.8 94.7 100.0 73.4 69.1 67.9 75.0 52.9 47.3 46.0 43.0 47.0 50.0 31.1 29.3 25.0 1.4 10.0 0.0 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
Note: 2010 data is through November 30. Source: J.P. Morgan. 37
($ bn)
Nov-10
High-yield fund flows

Following $31.9 billion and $3.4 billion fund inflows last year, high-yield bond and bank loan funds welcomed $10.8 billion and $9.5 billion, respectively in 20101. During the first half of the year, retail flows into high-yield bond funds shifted along with changes in market sentiment. European sovereign risks and an inability to create jobs domestically lead to sharp outflows from bonds funds in February and May. However, institutional demand for HY bonds stayed relatively strong, as yields across fixed income declined. Meanwhile, flows into leveraged loan funds during the first half remained comparatively steady. In the second half of the year, retail flows into high-yield bond funds surged amid improving growth trends, and falling Treasury yields. As rate fears began to rise in November, outflows for high-yield funds picked up. Notably, flows into floating rate leveraged loan funds tripled last years total and reached their highest level all year against this backdrop. For more on fund flow activity please see section 7 of this publication, Fund flow review.
Monthly high-yield mutual fund flow volume
6.0 5.0 4.0 3.0 2.0 1.0 0.0 -1.0 -2.0 -3.0 -4.0 -5.0 -6.0
4.7 3.1 2.5 1.9 0.4 0.7 0.0 -0.1 -0.2 -0.8 -2.2 -2.5 -0.3 0.2 1.6 2.6 1.9 2.5 1.8 1.9 1.7 1.5 2.4 1.9 4.9 4.3 3.9 3.0 2.0 1.5 0.9 2.3 4.4
$ bn
-0.6
-5.7
May-08
May-09
May-10
Sep-08
Sep-09
Sep-10
Mar-08
Mar-09
Mar-10
Jan-10
Jan-09
Jul-09
Jul-10
Source: AMG Data Services.
Annual high-yield fund flows

36.0 32.9 31.9
Nov-08
Fund flows ($ bn)
24.0 15.9 12.0 5.2 1.7 0.0 -0.6 -12.0 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 -3.2 11.0 2.3 5.2 6.5 3.4 1.8 10.9 11.1
21.6
19.7 16.3 13.2 3.9 5.5 5.0 6.5 10.8
Nov-09
-2.1 -6.3 1997 1998 1999 2000 2001 2002 2003 2004 -8.8 2005 2006 2007 2008 2009 2010
Note: 2010 data is through November 30. Source: Investment Company Institute; AMG Data Services.
1. As reported by Lipper FMI through December 1, 2010. Bond data includes funds reporting weekly, monthly, and ETF funds. Loan data includes weekly reporting funds. 38
Nov-10
Jan-08
Jul-08
2
Defaults, distressed debt, and ratings changes
Default activity declined significantly in 2010, following last years record-high volume. Through November 30, 41 companies defaulted, affecting a combined $19 billion in bonds and loans ($7.4 billion in bonds and $11.6 billion in institutional bank loans). By comparison, 120 companies defaulted on a record-high $185 billion in bonds and loans during full-year 2009 ($95 billion in bonds and $90 billion in bank loans). Of the defaulted companies, 11 were bond-only issuers, 22 were loan only borrowers, and the remaining 8 companies had both bonds and loans outstanding. Specifically for the high-yield bond market, this years $7.4 billion of bonds affected was the third lowest volume in the last 13 years, trailing only 2005s $3.2 billion and 2006s $7.3 billion. Meanwhile, the $11.6 billion of defaulted loans was the third largest total on record, trailing last years $90.1 billion and 2008s $29.7 billion. The high-yield bond par-weighted bond default rate decreased each month, falling to 0.74% at the end of November, down from 10.27% at the end of last year. Meanwhile, the issuer weighted default rate for bonds decreased to 2.16% from 8.59%. For loans, the par-weighted default rate decreased to 2.18% from 12.78%, and the issuer-weighted default rate declined to 2.86% from 7.34%. For more on defaults, distressed debt, and ratings changes please see section 4 of this publication, Event risk in the high-yield market.
Default volumes declined significantly in 2010

200.0 180.0 160.0 Default volume ($bn) 140.0 120.0 100.0 80.0 60.0 40.0 20.0 0.0 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
1
184.7
Leveraged loans High-yield bonds
64.1 35.4
63.4 49.2 28.0 10.2 28.7 8.5 19.0 4.4
25.5 8.8
1. 2010 data is through November 30. Source: J.P. Morgan.
39
Twelve-month rolling domestic default rates

14.0% 12.0% 10.0% Default rate 8.0% 6.0% 4.0% 2.0% 0.0% Jan-94 Jan-95 Jan-96 Jan-97 Jan-98 Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Dec-08 Jan-10 Dec-09 Nov-10 0.74% Nov-10 2.18% High-yield bond default rate Leveraged loan default rate
The average high-yield bond price (excluding defaults) increased to $100.51 as of November 30, from $94.57 at the end of last year, while the median bond price rose to $102.00 from $99.13. Meanwhile, for loans, the average bid price, according to S&P LCDs US Performing Loan Index increased to $94.50 from $89.82 at the end of last year. The size of the distressed bond market decreased to $2.9 billion, or 0.30% of the total high-yield domestic market, from $6.6 billion (0.78%) at the start of the year. Distressed debt peaked at $10 billion at the end of August, still a fraction of last years high of $214 billion at the end of February. Another proxy for distressed debt, bond spreads greater than 1000bp, decreased to $85.1 billion, or 8.8% of the market, from $113.5 billion or 13.5% of the market as of December 31, 2009. For loans, 13.1% of the institutional loan market traded below $80 as of November 30, slightly higher than the 10.4% of distressed loans at the start of the year. If we use $60 as the threshold for distressed loans, only 1.67% of the institutional loan market trades in distress, a decrease from 2.65% at the end of last year.
Domestic distressed debt as a percent of the high-yield market
70.0% Percent of the high-yield market 60.0% 50.0% 40.0% 30.0% 20.0% 10.0% 0.0% Dec-94 Dec-95 Dec-96 Dec-97 Dec-98 Dec-99 Dec-00 Dec-01 Dec-02 Dec-03 Dec-04 Dec-05 Dec-06 Dec-07 30-Nov-10 Below 70%= 2.26% Below 50%= 0.30% Bonds trading at or below 50% of par Bonds trading at or below 70% of par
40
2
Credit conditions remained strong throughout 2010, a trend extended from the end of last year, as upgrades outnumbered downgrades in each of the years first 11 months and 15 consecutive months dating back to September. Overall there were 349 upgrades totaling $334 billion of bonds, compared with 241 downgrades totaling $197 billion, which equates to an upgrade-to-downgrade ratio by issuer of 1.45:1. By comparison, there were 212 upgrades affecting $242 billion in 2009, compared with 481 downgrades affecting $418 billion (0.44:1). Notably, the dollar volume of upgraded bonds through November is on pace to break 2006s current record of $352 billion. The 12-month trailing ratio of upgraded issuers to downgraded issuers increased to 1.50:1 as of November 30, from 0.44:1 at the start of the year and a record-low of 0.24:1 17 months ago.
Upgrades outnumbered downgrades during each month in 2010
60
52
Upgrades
42
50 Downgrades
35 29 24 22 28 23 20 19 17 19 21 13 31 22 36 29
40 30 20 10 0 Mar-10
26 17 27
34
Apr-10
Aug-10
Sep-10
May-10
Source: J.P. Morgan
Nov-10
Feb-10
Jan-10
Jun-10
Jul-10
Oct-10
41
Gainers and Losers

First-quarter 2010 gainers and losers
GAINERS Issuer Visteon Visteon Cooper Standard Automotive Newport Television Residential Capital Corp. Town Sports International Snoqualmie Ent. Authority Tronox Worldwide Rafaella Apparel Local TV Finance 31-Mar-10 Price 96.00 106.00 71.50 80.00 96.75 86.13 77.00 106.00 66.00 65.50 31-Dec-09 to 31-Mar-10 Price Chg 69.75 64.00 46.00 35.88 26.75 25.63 24.00 24.00 23.50 22.50 31-Dec-09 to 31-Mar-10 Price Chg -39.00 -36.75 -21.25 -12.00 -11.50 -11.25 -11.00 -9.50 -9.25 -8.63 % Change 265.71% 152.38% 180.39% 81.30% 38.21% 42.36% 45.28% 29.27% 55.29% 52.33%
Bond 7.000% Sr Nts 14 12.250% Sr Nts 16 8.375% Sr Sub Nts 14 13.000% Sr Toggle Nts 17 6.500% Sr Nts 13 11.000% Sr Disc Nts 14 9.125% Sr Sec Nts 15 9.500% Sr Nts 12 11.250% Sr Sec Nts 11 10.000% Sr Toggle Nts 15
Industry Automotive Automotive Automotive Broadcasting Financial Gaming/Lodging Gaming/Lodging Chemicals Consumer Prod. Broadcasting
LOSERS Issuer Spheris Blockbuster Blockbuster Dynegy Holdings Texas Comp. Electric Dynegy Holdings Gallery Capital SA Verasun Energy Edison Mission Trico Shipping AS
Bond
31-Mar-10 Price 14.50 20.25 73.75 83.00 69.50 75.50 40.00 6.25 69.75 95.50
% Change -72.90% -64.47% -22.37% -12.63% -14.20% -12.97% -21.57% -60.32% -11.71% -8.28%
Industry Healthcare Retail Retail Utility Utility Utility Broadcasting Energy Utility Energy
11.000% Sr Sub Nts 12 9.000% Sr Sub Nts 12 11.750% Sr Sec Nts (1st Lien) 14 8.375% Sr Nts 16 10.250% Sr Nts 15 7.750% Sr Nts 19 10.125% Sr Sec Nts 13 9.375% Sr Nts 17 7.000% Sr Nts 17 11.875% Sr Sec Nts 14
Note: Largest price gainers and losers of issues in the JPMorgan Global High-Yield Index, by dollar price change. Source: J.P. Morgan.
Second-quarter 2010 gainers and losers

GAINERS Issuer Rotech Healthcare Crompton Virgin River Casino Baker & Taylor Valeant Pharmaceuticals Visteon Local TV Finance PMI Group Duquesne Light Visteon 30-Jun-10 Price 89.75 113.00 42.50 73.25 118.00 124.00 83.00 80.00 86.81 109.00 31-Mar-10 to 30-Jun-10 Price Chg 31.75 24.25 24.00 20.25 18.00 18.00 17.50 14.88 13.85 13.00 31-Mar-10 to 30-Jun-10 Price Chg -33.50 -32.00 -28.00 -27.03 -24.25 -23.00 -22.99 -21.00 -18.50 -18.00 % Change
Bond 9.500% Sr Sub Nts 12 6.875% Debs 26 9.000% Sr Sec Nts 12 11.500% Sr Sec Nts 13 7.625% Sr Nts 20 12.250% Sr Nts 16 10.000% Sr Toggle Nts 15 6.000% Sr Nts 16 6.250% Sr Nts 35 7.000% Sr Nts 14
Industry
54.74% Healthcare 27.32% Chemicals 129.73% Gaming/Lodging 38.21% Diversified Media 18.00% Healthcare 16.98% Automotive 26.72% Broadcasting 22.84% Financial 18.98% Utility 13.54% Automotive
LOSERS Issuer Sorenson Communications Spansion LLC Restaurant Company ATP Oil & Gas Ahern Rentals Inc Norske Skog Canada RathGibson Colt Defense First Data Corporation Nationstar Mortgage
Bond
30-Jun-10 Price 63.00 86.00 40.00 72.50 33.75 46.50 1.51 79.25 61.50 78.50
% Change -34.72% -27.12% -41.18% -27.16% -41.81% -33.09% -93.83% -20.95% -23.13% -18.65%
Industry Services Technology Food/Beverages Energy Services Paper/Packaging Industrials Industrials Technology Financial
10.500% Sr Sec Nts 15 11.250% Sr Nts 16 10.000% Sr Nts 13 11.875% Sr Sec Nts (2nd Lien) 15 9.250% Sr Sec Nts (2nd Lien) 13 7.375% Sr Nts 14 11.250% Sr Nts 14 8.750% Sr Nts 17 11.250% Sr Sub Nts 16 10.875% Sr Nts 15
Note: Largest price gainers and losers of issues in the JPMorgan Global High-Yield Index, by dollar price change. Source: J.P. Morgan. 42
2
Third-quarter 2010 gainers and losers
GAINERS Issuer Titan Petrochemicals MBIA Viant Holdings MBIA Dresdner Funding Trust Tribune Co Tribune Co NXP BV Citigroup Capital III Allis-Chalmers Energy 30-Sep-10 Price 63.00 77.88 121.75 68.03 95.00 44.63 44.13 102.50 106.60 100.50 30-Jun-10 to 30-Sep-10 Price Chg 23.00 21.81 19.88 19.78 19.59 19.13 19.13 18.75 17.94 14.00 30-Jun-10 to 30-Sep-10 Price Chg -32.25 -22.25 -21.25 -19.00 -16.63 -16.00 -15.00 -12.50 -12.25 -11.75 % Change 57.50% 38.90% 19.51% 40.99% 25.97% 75.00% 76.50% 22.39% 20.24% 16.18% Bond 8.500% Sr Guar Nts 12 6.400% Sr Nts 22 10.125% Sr Sub Nts 17 5.700% Sr Nts 34 8.151% Trust Pfd Secs 31 5.250% Sr Sec Nts 15 7.250% Sr Sec Nts 96 9.500% Sr Nts 15 7.625% Trust Pfd Secs 36 8.500% Sr Nts 17 Industry Energy Financial Healthcare Financial Financial Diversified Media Diversified Media Technology Financial Energy
LOSERS Issuer Local Insight Regatta Hldgs. Angiotech Pharmaceutical Novasep Holding Sbarro Dex One Corporation Network Communications Restaurant Company Sitel Edgen Murray OPTI Canada Inc
Bond
30-Sep-10 Price 32.75 36.75 77.00 60.00 78.63 34.00 25.00 80.00 72.25 75.25
% Change
Industry
11.000% Sr Sub Nts 17 7.750% Sr Sub Nts 14 9.750% Sr Sec Nts 16 10.375% Sr Nts 15 12.000% Sr Sub Toggle Nts 17 10.750% Bds 13 10.000% Sr Nts 13 11.500% Sr Nts 18 12.250% Sr Sec Nts (1st Lien) 15 7.875% Sr Sec Nts (2nd Lien) 14
-49.62% Diversified Media -37.71% Healthcare -21.63% Healthcare -24.05% Food/Beverages -17.45% Diversified Media -32.00% Diversified Media -37.50% Food/Beverages -13.51% Services -14.50% Energy -13.51% Energy
Note: Largest price gainers and losers of issues in the JPMorgan Global High-Yield Index, by dollar price change. Source: J.P. Morgan.
Fourth-quarter 2010 gainers and losers1

GAINERS Issuer Tronox Worldwide Fertinitro Finance Affinity Group Norske Skog Canada Atlas Energy Resources US Oncology North Atlantic Trading Wise Metals Nationstar Mortgage Wilmington Trust 30-Nov-10 Price 156.88 90.00 99.00 64.75 131.00 120.50 79.00 100.50 97.25 115.11 30-Sep-10 to 30-Nov-10 Price Chg 64.50 25.50 24.38 23.50 15.38 14.50 14.00 14.00 13.50 13.45 30-Sep-10 to 30-Nov-10 Price Chg -28.75 -22.75 -22.63 -22.50 -21.50 -15.12 -13.50 -13.25 -12.00 -12.00 % Change 69.82% 39.53% 32.66% 56.97% 13.30% 13.68% 21.54% 16.18% 16.12% 13.23%
Bond 9.500% Sr Nts 12 8.290% Sr Sec Nts 20 9.000% Sr Sub Nts 12 7.375% Sr Nts 14 12.125% Sr Nts 17 9.125% Sr Sec Nts 17 9.250% Sr Nts 12 10.250% Sr Sec Nts 12 10.875% Sr Nts 15 8.500% Sub Nts 18
Industry Chemicals Chemicals Diversified Media Paper/Packaging Energy Healthcare Food/Beverages Metals/Mining Financial Financial
LOSERS Issuer Local Insight Regatta Hldgs. 155 E Tropicana Dex One Corporation Spheris NCO Group Inc Asia Aluminum Holdings Shingle Springs Rouse Delta Petroleum Sbarro
Bond
30-Nov-10 Price
% Change
Industry
11.000% Sr Sub Nts 17 4.00 8.750% Sr Sec Nts 12 23.38 12.000% Sr Sub Toggle Nts 17 56.00 11.000% Sr Sub Nts 12 2.50 11.875% Sr Sub Nts 14 68.00 8.000% Sr Nts 11 0.01 9.375% Sr Nts 15 61.00 6.750% Sr Nts 13 103.00 7.000% Sr Nts 15 67.00 10.375% Sr Nts 15 48.00
-87.79% Diversified Media -49.32% Gaming/Lodging -28.78% Diversified Media -90.00% Healthcare -24.02% Services -99.93% Metals/Mining -18.12% Gaming/Lodging -11.40% Financial -15.19% Energy -20.00% Food/Beverages
Note: Largest price gainers and losers of issues in the JPMorgan Global High-Yield Index, by dollar price change. 1.Through November 30, 2010. Source: J.P. Morgan. 43
2010 gainers and losers1

GAINERS Issuer Tronox Worldwide Newport Television Local TV Finance Titan Petrochemicals North Atlantic Trading Snoqualmie Ent. Authority WII Components Town Sports International Virgin River Casino Rotech Healthcare 30-Nov-10 Price 156.88 93.75 91.00 65.00 79.00 92.50 98.00 96.25 44.88 91.00 31-Dec-09 to 30-Nov-10 Price Chg 74.88 49.63 48.00 47.00 42.50 39.50 38.00 35.75 34.88 33.00 31-Dec-09 to 30-Nov-10 Price Chg -60.50 -56.00 -51.00 -47.00 -44.00 -40.10 -39.75 -31.63 -30.50 -29.50 % Change 91.31% 112.46% 111.63% 261.11% 116.44% 74.53% 63.33% 59.09% 348.75% 56.90%
Bond 9.500% Sr Nts 12 13.000% Sr Toggle Nts 17 10.000% Sr Toggle Nts 15 8.500% Sr Guar Nts 12 9.250% Sr Nts 12 9.125% Sr Sec Nts 15 10.000% Sr Nts 12 11.000% Sr Disc Nts 14 9.000% Sr Sec Nts 12 9.500% Sr Sub Nts 12
Industry Chemicals Broadcasting Broadcasting Energy Food/Beverages Gaming/Lodging Housing Gaming/Lodging Gaming/Lodging Healthcare
LOSERS Issuer Local Insight Regatta Hldgs. Blockbuster Spheris Blockbuster Dex One Corporation Sorenson Communications Colt Defense RathGibson Sbarro Novasep Holding
Bond
30-Nov-10 Price
% Change
Industry
11.000% Sr Sub Nts 17 4.00 9.000% Sr Sub Nts 12 1.00 11.000% Sr Sub Nts 12 2.50 11.750% Sr Sec Nts (1st Lien) 14 48.00 12.000% Sr Sub Toggle Nts 1756.00 10.500% Sr Sec Nts 15 58.00 8.750% Sr Nts 17 63.50 11.250% Sr Nts 14 0.50 10.375% Sr Nts 15 48.00 9.750% Sr Sec Nts 16 68.00
-93.80% Diversified Media -98.25% Retail -95.33% Healthcare -49.47% Retail -44.00% Diversified Media -40.88% Services -38.50% Industrials -98.44% Industrials -38.85% Food/Beverages -30.26% Healthcare
Note: Largest price gainers and losers of issues in the JPMorgan Global High-Yield Index, by dollar price change. 1.Through November 30, 2010. Source: J.P. Morgan.
44
New-issue review
45
46
New-issue review
2010 highlights
As of December 10, 2010, 637 US-dollar high-yield bonds totaling $298bn priced, 65% higher than last years record (408 issues for $181bn). Refinancings continued to be the dominant theme as issuers focused on extending maturities. Bond-for-loan deals made a significant contribution to high-yield issuance this year, accounting for $67bn, up from $49bn in the prior year. As the year progressed, volumes placed by cyclical and lower-quality issuers increased, as did more highly leveraged transactions, acquisition and opportunistic financings, resulting in new-issue trends that slowly deteriorated. Dividend activity increased, bolstered by robust market conditions and concerns over expiration of Bush-era dividend tax rates. Dividend deals accounted for $15bn, or 5% of issuance in 2010, up from $4bn, or 2% of issuance in the prior year. Non-dollar activity set a new record in 2010, rising 75% year over year to US$equivalent of $54bn. US-dollar foreign issuance also benefited from wide-open capital markets this year, accounting for $31bn, a new record, up from $23bn of activity in 2009. For 2011, we forecast high-yield bond issuance to remain robust, totaling $235bn, a slightly slower pace of issuance activity year-over-year, but one still consistent with an extremely active backdrop for prospective issuers.
High-yield primary market sets another record
800 700 600
504
New-issue volume Number of new issues
$350
667 694 583 298.0 637
$300 $250
# of issues
500
402
400
389
150.8 126.0
378 300 99.8 94.7 139 47.3 67.9 260
151.6 158.2
375 149.1 147.9 106.1 335 321
180.7 408
$200 $150 $100
($bn)
300 200 100

1.4 189 131 46.0 10.0 48 69.1 250 43.0 238 73.4 47.0
52.9 115
1
$50 2009 YTD $0
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
Note: New-issue volume is measured by par amount. 1. Through December 10, 2010. Source: J.P. Morgan.
2008
47
Percentage change in size of global US dollar high-yield market
80% 70% 60% 50% 40% 30% 20% 10% 0% -10% -20%
1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988
-0.6% -6.4% -12.1% -1.1% 8.3% 7.1%6.7%9.4% 7.7% 41.2% 37.2% 22.9% 66.1%
32.1% 28.3% 17.8% 13.4% 17.2%15.6% 9.1% 18.2% 10.1% 26.3% 16.1%15.5% 3.7% 5.6% 1.7% 0.5% -2.2% 18.6% 11.6%
4.3%
1. Through December 10, 2010. Source: J.P. Morgan.
Percentage of new issue proceeds by category

BB-rated B-rated CCC-rated Refinancing Acquisition finance General corporate Dividend-payout Deferred interest Cyclical Defensive Energy Less than $100 mn Greater than $300 mn Foreign
1. Through December 10, 2010. Source: J.P. Morgan
1999 21.9% 60.0% 1.3% 49.5% 27.4% 23.1% 0.0% 9.1% 38.6% 56.0% 5.5% 6.9% 54.7% 10.0%
2000 25.8% 53.9% 4.0% 34.8% 26.1% 39.1% 0.0% 9.6% 26.5% 68.5% 5.0% 1.1% 64.7% 18.8%
2001 34.5% 39.7% 1.0% 78.1% 12.9% 9.0% 0.0% 1.4% 37.6% 55.4% 7.1% 2.0% 61.5% 2.1%
2002 20.9% 51.3% 0.3% 76.6% 15.5% 8.0% 0.0% 0.9% 51.4% 37.8% 10.8% 2.6% 51.5% 4.9%
2003 20.9% 53.2% 2.8% 75.7% 15.4% 8.8% 0.0% 2.0% 45.1% 46.1% 8.8% 2.9% 60.1% 11.7%
2004 21.6% 44.9% 6.6% 58.1% 29.3% 12.5% 5.5% 5.2% 49.9% 41.6% 8.5% 3.1% 55.1% 6.3%
2005 21.7% 47.0% 6.2% 50.2% 38.0% 11.8% 4.8% 1.1% 54.9% 34.3% 10.8% 2.0% 57.4% 6.5%
2006 29.5% 39.0% 8.8% 38.4% 44.4% 16.1% 3.6% 0.5% 54.5% 35.7% 9.8% 0.9% 79.2% 7.9%
2007 16.1% 33.4% 14.0% 35.3% 51.4% 12.1% 2.0% 0.3% 42.0% 47.1% 10.9% 0.6% 84.6% 4.1%
2008 26.3% 32.3% 15.8% 40.6% 46.0% 10.9% 0.0% 0.8% 36.2% 45.3% 18.5% 0.7% 80.9% 2.4%
2009 26.0% 34.3% 3.4% 76.1% 5.3% 16.0% 1.9% 0.0% 44.6% 43.2% 12.2% 0.7% 77.5% 13.1%
20101 20.3% 38.7% 6.8% 66.5% 15.4% 15.1% 4.8% 0.2% 53.9% 32.6% 13.5% 0.5% 82.9% 11.1%
New issue overview

On the heels of a record year in 2009, high-yield new-issue volume set a fresh record in 2010 with $298bn1. In particular, this years monthly activity topped $30bn volume on six occasions, after never topping $30bn, leading to a 65% increase in volumes year over year. While the primary market remained hot all year, activity accelerated as the year progressed, particularly in the second half of the year. By quarter, volumes totaled $77bn, $48bn, $86bn, and $87bn, respectively.
Another new record for high-yield primary market

The years primary market activity started off with a bang, as $77bn priced in the first quarter, beating the previous record quarter (2Q07) by more than $15bn. Activity was strong despite an uncertain macroeconomic backdrop and significant retail fund outflows (-$2.5bn), which led to 11 deals getting pulled or postponed.
1. As of December 10, 2010. 48
2010 1
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
Supported by slowly improving economic expectations, $40.5bn priced in March, easily eclipsing the previous record month ($29.3bn in November 2006). Conditions favored high-yield issuers until May and Junes market swoon, when a sharp rise in risk aversion led to $6.3bn of retail outflows and the lowest monthly new-issue volumes of the year ($6.9bn and $7.2bn, respectively). In the second half of the year, economic expectations improved, demand remained high, and secondary market conditions were excellent, all of which led to a rebound in new-issue conditions. In fact, the second week of August set a new record, as 37 deals priced for $22.1bn, topping a pervious record of $12.1bn in the week ended March 18. The torrid pace of issuance continued through year-end with over $30bn pricing each month.
This years new-issue activity topped $30bn six times, after having never reached this level previously
45.0 40.0 35.0 30.0 $ bn 25.0 20.0 15.0 10.0 5.0 0.0
Apr-09 Mar-09 Mar-10 Apr-10 Jul-09 Jan-09 Jun-09 Jan-10 Aug-09 Sep-09 Jun-10 Jul-10 Aug-10 Sep-10 Feb-09 Nov-09 Dec-09 Feb-10 Nov-10 May-09 May-10 Dec-10 Oct-09 Oct-10
40.5 34.2 26.5 26.0 17.5 14.4 11.1 5.9 4.7 2.7 11.7 6.9 7.2 20.4 19.5 20.4 20.1 16.2 16.5 11.3 36.1 33.1 34.3 32.3
Risk trends (ratings and uses of proceeds)

New-issue trends are an important factor in analyzing future default risk. In 2010, refinancing continued to be the dominant theme. Another trend was the broadening of the primary market to a more diverse set of issuers and issuance objectives. As the year progressed, volumes placed by cyclical and lower-quality issuers increased, as did more highly leveraged transactions, acquisition and opportunistic financings, resulting in new-issue trends that slowly deteriorated. Lower-quality issuance (bonds rated Split B, CCC, or non-rated) as a percentage of total issuance progressively increased from 14% in 1Q to 24% in 4Q. In all, lower rated issuance made up 18% of total issuance in 2010, which compared to 11% last year. By dollar volume, lower-rated deals totaled $52bn this year, or almost three times last years volume ($19bn). Providing a better gauge of the extent of aggressiveness of the new issuance is the volume of lower-rated issuance, excluding debt used to refinance existing obligations. This category increased to $17bn from $5bn last year, however, it remains below the $25bn average between 2004 and 2007 and well below 2007s peak of $49bn. Looking ahead, we expect lower-rated bonds to make up closer to 25% of next years bond volumes as the new-issue cycle further matures. Nevertheless, we expect lower rated activity to continue to be directed mostly toward refinancing and extending maturities, rather than the leverage enhancing deals of the prior new-issue cycle, ultimately a positive for the future liquidity and default outlook.
49
Percentage of new issues by rating
by par amount 1997 Split BBB BB Split BB B Split B CCC NR Split B, CCC and NR 5.9% 16.2% 7.4% 56.4% 4.4% 1.7% 7.9% 14.0% 1998 4.2% 24.2% 6.3% 44.8% 6.9% 4.2% 9.4% 20.5% 1999 3.1% 20.6% 8.0% 60.6% 2.7% 1.8% 3.2% 7.6% 2000 2.9% 23.9% 2.7% 54.3% 3.3% 6.1% 6.7% 16.1% 2001 13.9% 33.9% 8.2% 40.4% 1.3% 1.0% 1.3% 3.6% 2002 9.8% 20.8% 14.4% 51.6% 2.6% 0.3% 0.5% 3.4% 2003 7.4% 20.6% 9.3% 52.7% 6.0% 3.0% 1.1% 10.1% 2004 8.9% 21.1% 5.4% 44.0% 12.1% 7.0% 1.4% 20.6% 2005 5.9% 21.6% 8.3% 46.8% 10.0% 6.3% 1.1% 17.4% 2006 1.4% 29.3% 9.6% 38.8% 11.2% 9.0% 0.7% 20.9% 2007 6.5% 16.0% 7.9% 33.4% 21.1% 14.0% 1.1% 36.3% 2008 2.5% 26.1% 13.1% 32.4% 7.5% 15.9% 2.7% 26.0% 2009 9.3% 25.9% 19.8% 34.4% 6.9% 3.5% 0.3% 10.7% Chg. 2009 20101 to 2010 8.5% 20.2% 14.9% 38.8% 9.4% 6.9% 1.3% 17.6% -0.7% -5.6% -4.9% 4.4% 2.5% 3.4% 1.0% 6.9%
Lower-rated issuance as a percentage of total primary market activity surged in 2010, but remains below 2004-2007 average of 24%
40.0% 35.0% Percent of total issuance 30.0% 25.0% 20.0% 15.0% 10.0% 5.0% 0.0% 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 5.4
1
16-year average= 16.7%
36.3%
26.0% 20.5% 14.0% 7.6% 3.6% 3.4% 2010 16.9 14.9 5.6 6.3 1.0 0.9 2002 4.3 2003 2004 2005 2006 2007 2008 12.2 12.6 YTD
1
20.6% 16.1% 10.1% 17.4%
20.9% 17.6% 10.7%
2010 lower-rated issuance, excluding refinancing-related deals, rose, but remains a fraction of 2007s peak
Lower rated issuance ex refinancings ($ bn) 60 1995 to 1998 = $44.5 billion 50 40 30 20.4 20 11.9 10 0 1995 1996 1997 1998 1999 2000 2001 2009 5.4 6.8 25.7 2004 to 2007 =$101.6 billion 48.8
50
Leverage multiples in the high-yield primary market

6.0x US$ HY new-issue average leverage 5.5x 5.0x 4.5x 4.1x 4.0x 3.5x 2010 1
4Q10 1 2010
5.4x 5.1x 4.8x 4.9x 4.5x 4.6x 4.8x 4.5x 4.7x 4.5x
5.4x 4.8x 4.5x 4.5x 4.2x 4.2x 4.8x 4.8x
3.7x
3.0x 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009
1Q10
2Q10
Refinancing remained the use of proceeds for the bulk of issuance this year, however, acquisition financings picked up year over year. Year to date, $198bn, or 66% of total issuance, was used for refinancing purposes, down from 76% last year. On a quarterly basis, refinancing activity declined from 68% in the first three quarters to 62% in 4Q. Nevertheless, this years refinancing activity remains 12% above the long term average allocation of 54%. Whereas refinancing activity declined, acquisition financing-related volume rose year over year, accounting for $46bn, or 15% of total issuance this year versus $10bn, or 5% of new issuance in 2009. This, however, still remains well below the peak of 51% in 2007. LBO-related financings steadily increased this year, accounting 4% of this years volumes, versus 1% in 2009.
Acquisition financings increased as a total percent of total issuance
60% 51.4% 50% 40% 30% 20% 10% 0.0% 0% 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 30.1% 27.8% 15.8% 3.1% 3.7% 2.9% 27.4% 25.7% 44.4% 38.0% 25.9% 15.4% 5.3% 2010 1
51
46.0%
21.5% 20.5% 15.5% 13.5% 12.9%
3Q10
Refinancing activity declined by about 10% in favor of acquisition financing
By proceeds
100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Dec 1 2010
1
91.1% 72.6% 71.5% 69.8% 50.2% 52.3% 51.8% 49.0% 46.9% 44.6% 32.1% 75.8% 74.6% 73.4% 57.4% 50.2% 40.6% 38.4% 35.3% 76.1% 66.5%
0%
Bond-for-loan deals
Leveraged loan new issuance picked up this year, with volumes totaling $130bn. Nevertheless, issuers continued to use the wide-open bond market to refinance loans, leading to an increase in bond-for-loan deals year over year. After accounting for $49bn in 2009, bond-for-loan transactions made up $67bn of issuance in 2010. For 2011, we expect bond-for-loan takeout volume to be in line with this year as loan issuers remain focused on maturities coming due in 2013 and 2014.
Bond-for-loan activity
By proceeds
Bond for loan takeouts by seniority ($mn) 12 10 8 6 4 2 0 Sept Mar Apr Aug Feb Jan Oct June May Nov July Sr Sec Sr Nts Sub
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Dividend deals
An interesting trend in the new-issue market has been the increase in dividend deals, which came into the spotlight as borrowers took advantage of robust market conditions to fund cash payments to shareholders. This trend was boosted by the anticipation of the Bush-era dividend tax rates expiring at year end. In 2009, newissue dividend deals totaled $4bn, or 2% of issuance. This volume rose to $15bn in 2010, or 5% of issuance. Moreover, the trend accelerated as the year progressed, accounting for under 4% of bond deals in the first three quarters of the year and 8% since the end of September. A testament to strong market demand, HCA placed a $1.525bn dividend deal in November, the largest private equity-related dividend deal since 2005, according to S&P/LCD. Thus, this years dividend deals made up the largest share of the high-yield primary market since 2005, when 5.1% of issuance was for dividend purposes.
Dividend deal activity
6% Dividend deals % of total issuance 5% 4% 3% 2% 1% 0% 2005 2006 2007 2008 2009 2010
Note: 2010 data is through December 10. Source: J.P. Morgan.
Seniority
Senior bond issuance as a percentage of total issuance by par amount remained near last years peak level. Declining modestly from 96% of issuance, this years senior bond contribution was 95%. For context, these levels compare to 93% and 90% in 2008 and 2007, respectively. Senior secured notes made up 27% of total issuance, down from 34%; however, this level is still significantly higher than 12.0% and 7.5% in 2008 and 2007, respectively. Subordinated and junior subordinated notes accounted for a mere 5%, marginally higher than 4% last year.
Security type
Popular during the 1990s, issuance of deferred-interest securities has been negligible during the last few years. For example, from 1993 through 1998, deferred-interest securities accounted for an average of 12.3% of total new-issue volume annually, compared with an average of only 1.9% from 2001 through 2005. In 2010, deferred-interest securities accounted for only two transactions totaling under $1bn and accounting for 0.3% of this years volume. Payment-in-kind bonds (PIK) and toggle notes, which give issuers the option of paying coupons in cash or in additional securities, had seen a run-up in the last cycle, in conjunction with acquisition financing deals and leveraged buyout transactions, providing those issuers with a way to reduce debt service, deferring it to later years. These deals accounted for an
53
average of 10.6% of total deal proceeds from 2006 to 2008. Declining to just 0.7% of issuance in 2009, PIK and toggle notes contribution declined further to just 0.2% of this years issuance, despite the pick-up in non-refinancing activity seen this year. Specifically, in 2010, one toggle deal and three PIK deals priced.
Industry
In 2010, new-issuance activity continued to rotate toward cyclical issuers. After broadening to 45% of new-issue volume in 2009, cyclical issuers accounted for 54% of issuance in 2010. This years cyclical activity set a new record high, exceeding the 51% average between 2004 and 2006. Meanwhile, defensive issuance declined to just 33% from 43% last year, the smallest contribution historically. By quarter, defensive issuance remained steady in the first three quarters of the year, contributing 30-31% of issuance. However, that contribution increased somewhat in the last quarter (to 37%) as a sharp rise in Treasury rates and Eurozone concerns led to the first and only month in 2010 (November) in which defensive issuance volumes exceeded cyclical volumes. The Energy sector contribution rose from 12% to 14% year over year, but remained below the 19% contribution in 2008. Overall, Energy continued to lead this years issuance volumes, accounting for 14% of issuance ($40bn), versus 12% ($22bn) last year. Its contribution was the highest in the third quarter (20%), led by large transactions, including those by Anadarko Petroleum and Chesapeake Energy, which totaled $2bn each and ranked among the 10 largest transactions of the year. The Financial sector was the second most active new-issue sector this year, accounting for 9% of issuance ($26bn), a significant move from its second-to-last position in 2009 (2% of issuance for $3bn). The sector housed the largest deal of the yearInternational Lease Financewhich priced a multi-tranche $4.4bn offering to repay bank debt.
Percent of new issues by industry
By par amount
Transportation 2% Telecom 6% Utility Automotive 3% 4% Broadcasting 2% Cable And Satellite 3% Chemicals 4% Consumer Products 2% Diversified Media 2% Energy 14%
Technology 4% Services 4% Retail 3% Paper And Packaging 5%
Metals And Mining 6% Industrials 6% Housing 5%
Financial 9% Food and Beverages 4% Gaming Lodging and Leisure 4%
Healthcare 9%
54
Note: Includes only US dollar-denominated issuance, through December 10, 2010. Source: J.P. Morgan.
Percent of new issues by industry

By par amount 1999 4.3% 1.0% 13.4% 5.3% 1.9% 2.0% 4.0% 4.2% 2.5% 6.9% 2.3% 2.7% 3.3% 2.0% 2.0% 1.8% 5.6% 2.4% 28.0% 1.2% 3.1% 2000 0.0% 0.0% 18.9% 1.6% 0.9% 0.6% 4.7% 4.1% 0.2% 8.6% 3.9% 2.6% 1.1% 0.0% 2.3% 0.6% 0.6% 2.2% 37.0% 1.1% 9.1% 2001 3.1% 4.1% 10.3% 4.8% 2.8% 3.3% 8.0% 2.1% 3.9% 7.3% 8.1% 3.0% 2.6% 1.3% 4.3% 3.0% 3.8% 1.7% 12.7% 1.4% 8.5% 2002 2.4% 4.3% 3.1% 3.2% 2.9% 5.3% 10.9% 2.1% 5.4% 12.3% 9.2% 3.5% 6.5% 3.1% 9.0% 1.9% 4.6% 4.8% 1.7% 1.6% 2.3% 2003 3.2% 1.4% 4.3% 5.6% 2.5% 5.5% 10.5% 3.3% 3.9% 5.8% 5.5% 2.8% 6.2% 3.4% 7.6% 2.2% 4.3% 2.5% 9.1% 1.5% 8.9% 2004 2.8% 0.3% 6.6% 5.8% 3.0% 2.9% 9.4% 3.2% 2.7% 8.4% 7.1% 5.0% 5.1% 4.2% 4.2% 2.8% 3.3% 4.5% 9.3% 1.4% 8.1% 2005 5.7% 2.2% 6.4% 2.0% 3.2% 0.9% 11.9% 3.6% 2.2% 5.4% 9.2% 4.9% 4.3% 4.8% 4.8% 4.2% 5.9% 7.3% 6.7% 1.1% 3.2% 2006 9.0% 0.4% 6.3% 5.4% 1.7% 5.5% 9.5% 2.1% 2.5% 5.6% 7.1% 2.0% 3.4% 3.7% 3.3% 3.5% 5.0% 11.0% 6.9% 1.1% 5.2% 2007 3.1% 1.6% 1.2% 2.3% 0.5% 3.4% 12.1% 5.0% 4.2% 3.7% 9.5% 2.5% 5.0% 8.3% 1.1% 4.5% 4.6% 4.9% 6.0% 1.1% 15.5% 2008 2.5% 1.2% 27.5% 0.9% 0.5% 1.5% 18.6% 0.0% 0.5% 9.7% 1.2% 5.4% 3.3% 3.3% 2.4% 3.4% 7.5% 4.1% 1.6% 0.9% 3.8% 2009 3.6% 2.5% 8.0% 2.8% 1.7% 2.1% 12.2% 1.7% 4.4% 7.4% 7.4% 4.0% 3.1% 4.5% 7.2% 4.1% 2.5% 2.0% 11.6% 2.8% 4.5% - Change 2009 20101 to 20101 4.6% 1.0% 1.6% -0.9% 3.7% -4.2% 4.3% 1.5% 2.3% 0.6% 1.8% -0.3% 14.0% 1.8% 9.7% 8.0% 3.8% -0.6% 3.7% -3.6% 8.6% 1.2% 5.3% 1.3% 6.0% 2.9% 4.0% -0.5% 4.6% -2.6% 2.8% -1.3% 3.5% 0.9% 4.2% 2.2% 5.3% -6.3% 2.6% -0.2% 3.6% -0.9%
Automotive Broadcasting Cable and Satellite Chemicals Consumer Products Diversified Media Energy Financial Food and Beverages Gaming Lodging and Leisure Healthcare Housing Industrials Metals and Mining Paper and Packaging Retail Services Technology Telecommunications Transportation Utility
Note: Includes only US dollar-denominated issues. 1. Through December 10, 2010. Source: J.P. Morgan.
The largest transactions of 2010

5.0 4.5 4.0 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0 FMG Resources (priced:10/26) Anadarko Petroleum (priced:8/9) Chesapeake Energy (priced:8/9) International Lease Finance (priced:3/17) Reynolds Group (priced:10/6) Frontier Communications (priced:3/26) International Lease Finance (priced:8/11) Lyondell Petrochemical (priced:3/24) Consol Energy (priced:3/25) Calpine Corp (priced:10/18) Novelis (priced:12/10) Icahn Enterprises (priced:1/12) GMAC (priced:2/9)
($bn)
55
Global primary market
Joining the US-dollar high-yield primary market, non-dollar activity set a new record in 2011, with volumes rising 75% year over year. Overall, non-dollar activity underwent a marked recovery over the past two years from the dearth of activity in 2008, rising from US-dollar equivalent of just $1bn two years ago to $54bn in 2010. Unlike last year, when most of the activity took place in the last four months of the year, the non-dollar primary market remained healthy throughout 2010. However, similar to the US dollar market, fourth quarter strength was also evident this year, as $17bn priced in 4Q10 versus an average quarterly volume of $12bn in the first three quarters of the year. The shifts in non-dollar primary market activity were similar to those in the dollar market, with periods characterized by weakening global economic conditions and expectations, leading to reduced activity, and signs of improvement, leading to resurgence in activity. Two of the top three months of the year for non-dollar activity, October and November (US-dollar equivalent of $10bn and $6bn, respectively), were also two of the strongest months for the dollar market ($30bn plus in each month).
Non-US dollar-denominated issuance set a new record in 2010
By par amount
60 50
(US-dollar equivalent, bn) 54.1
40 30
22.3 20.4
33.4 26.1
30.9
20
10.2
10 0 1999
9.4
11.8 6.9 3.2 1.3
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
Note: 2010 data is through December 10. Source: J.P. Morgan.
By industry, Automotive was the largest contributor this year, accounting for 17% of issuance, or US-dollar equivalent of $9bn, followed by the Financial sector, with 10% of issuance, or $6bn. The Automotive sector accounted for some of the largest transactions of the year, namely two Conti-Gummi Finance transactions (1.3bn, or US-dollar equivalent of $1.7bn, and 1.0bn, or US-dollar equivalent of $1.3bn, respectively) and a Peugeot dual-tranche offering (1.0bn, or US-dollar equivalent of $1.4bn), all of which are among the top 10 deals of the year by volume.
56
2010
Top 10 non-dollar deals by volume in 2010

3.0 (US-dollar equivalent, bn) 2.5 2.0 1.5 1.0 0.5 0.0
GMAC International Finance (priced:4/14) Peugeot (priced:10/21) Virgin Media Finance (priced:1/13) Conti-Gummi Finance (priced:9/2) Conti-Gummi Finance (priced:9/27) HeidelbergCement AG (priced:1/12) Ardagh Packaging Finance (priced:9/30) Wind Acquisition (priced:11/18) Ziggo Bond Co (priced:4/27) Pernod-Ricard (priced:3/11)
US-dollar foreign issuance also benefited from the wide-open capital markets this year. Accounting for $23bn of activity in 2009, this years international activity rose to $31bn, setting a new record. International activity steadily increased as the year progressed, with $6bn placed in the first quarter growing to $11bn in the fourth quarter. The only exception was the second quarter, when activity declined as sovereign debt concerns overshadowed the European primary market, allowing for just one European company, Ineos Finance, to tap the market for $570mn in Senior Secured Notes. Total new issuance in the international market, including both USdollar and non-dollar denominated issues, was $85bn in 2010, or 57% higher than last years previous record of $54bn.
Foreign US-dollar denominated activity set another record in 2010
$35 $30 $25 ($bn) $20 $15 $10 $5 $0 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
1
31.0
23.2 17.2 17.2 10.3 18.5 11.1 9.1 5.1 3.3 1.3 7.2 12.0 6.4
8.0
9.5
57
58
Event risk
59
60
Event risk in the high-yield market

2010 highlights
The net impact of event risk in the high-yield market in 2010 was positive. Specifically, default volumes declined significantly from record levels the prior year, credit conditions improved, the dollar volume of rising stars outpaced that of fallen angels, high-yield M&A activity increased for the second consecutive year, high-yield public equity issuance reached a record high, and called and tendered debt both increased. We summarize our 2010 findings as follows (all 2010 data is through November 30): Default activity declined significantly in 2010, as 41 companies defaulted, affecting a combined $19 billion in bonds and loans. By comparison, 120 companies defaulted on a record-high $185 billion in bonds and loans during full-year 2009. Specifically for the high-yield bond market, this years $7.4 billion of bonds affected was the third lowest volume in the last 13 years. The par-weighted bond default rate decreased to 0.74%, down from 10.27% at the end of last year. For loans, the par-weighted default rate decreased to 2.18% from 12.78%. Credit conditions remained strong throughout 2010, as upgrades outnumbered downgrades in each of the years first 11 months. Overall there were 353 upgrades totaling $335 billion of bonds, compared with 233 downgrades totaling $196 billion, which equates to an upgrade-to-downgrade ratio by issuer of 1.52:1. The number and dollar volume of rising stars outpaced fallen angels in 2010, marking only the second time in the last 11 years that has occurred. Specifically, 19 companies were upgraded to investment-grade from high yield affecting $33 billion in bonds. Meanwhile, 13 companies were downgraded to high yield from investment-grade affecting $28 billion in bonds. Total domestic merger and acquisition activity decreased for the third consecutive year, following four consecutive years of growth, decreasing to $806 billion in 2010, compared with $903 billion in full-year 2009. However, M&A activity involving high-yield issuers increased in 2010, accounting for $171 billion in deal volume, compared with $109 billion last year. Total public equity issuance of $154.8 billion in 2010 was down 32% from last years $229.1 billion. High-yield equity offerings totaled a record-high $43.9 billion, compared with $29.1 billion during full-year 2009 and a 15-year average of $23.3 billion per year. The percentage of total equity issuance that belonged to high-yield companies was 28.4%, another record, compared with 12.7% in 2009. Due to robust capital market conditions, the total volume of called debt increased two-fold year over year in 2010, as 179 companies called all or part of 244 issues totaling $45.3 billion, compared with only 111 called deals totaling $22.7 billion in 2009. Tendered debt increased to $47.9 billion in 2010, up from $45.5 billion during all of last year, and on pace to become the second highest volume all time.
61
The net impact of event risk in the international high-yield market was positive in 2010, as international default activity was benign and upgraded issuers outnumbered downgraded issuers. Most notably, only 7 non-domestic companies defaulted in 2010, totaling US-equivalent $3.2 billion in bondsthere were no defaults affecting loans.
Defaults
Default activity declined significantly in 2010, following last years record-high volume. Through November 30, 41 companies defaulted, affecting a combined $19 billion in bonds and loans ($7.4 billion in bonds and $11.6 billion in institutional bank loans). By comparison, 120 companies defaulted on a record-high $185 billion in bonds and loans during full-year 2009 ($95 billion in bonds and $90 billion in bank loans). Of the defaulted companies, 11 were bond-only issuers, 22 were loan only borrowers, and the remaining 8 companies had both bonds and loans outstanding. Specifically for the high-yield bond market, this years $7.4 billion of bonds affected was the third lowest volume in the last 13 years, trailing only 2005s $3.2 billion and 2006s $7.3 billion. Meanwhile, the $11.6 billion of defaulted loans was the third largest total on record, trailing last years $90.1 billion and 2008s $29.7 billion.
Annual number and dollar volume of high-yield defaults
160 140 Number of defaults 120 100 80
62 86
94.6 Amount ($ bn) Number

116 138
100.0 90.0 80.0 70.0
56.0 55.6
87 61 70
60.0 ($bn) 50.0 40.0

22.9
29 42
60 40 20 0
23 27 28 33
49
51
47 31 37 20 16
28.3 22.0
22.9 22.0 15.1
24.9 8.6
30.0
19
2.5 3.6
10.3
5.0
8.2
4.7 3.4
7.2
18
26
21
19.4
18 11
20.0 10.0 0.0
4.8
5.2 8.0
7.3
3.2
7.4
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
Note: 2010 data is through November 30. Sources: J.P. Morgan; Moodys Investors Service.
Annual number and dollar volume of institutional bank loan defaults

100 90 80 Number of defaults 70 60 50 40 30 20 10 0
0.6
9 4 33 26 23 12 60 93
2010
100.0 90.0 80.0 70.0 60.0 ($bn) 50.0 40.0 30.0

11.6
Amount ($ bn)
Number 90.1
29.7
30
3.2
7.1
8.1
7.9
11 6 5
20.0 10.0 0.0
3.0
1.5
5.9
1.2
1.2
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
62
Note: 2010 data is through November 30. Sources: J.P. Morgan; S&P LCD.
2010
After setting record highs in 2009, high-yield bond and loan par-weighted default rates fell significantly in 2010. During the year, the par-weighted bond default rate decreased each month, falling to 0.74% at the end of November, down from 10.27% at the end of last year. Meanwhile, the issuer weighted default rate for bonds decreased to 2.16% from 8.59%. For loans, the par-weighted default rate decreased to 2.18% from 12.78%, and the issuer-weighted default rate declined to 2.86% from 7.34%. As a reminder, given strong market technicals, few 2011 or 2012 maturities, and an expected moderate acceleration in US GDP growth next year, our 2011 default forecasts for high-yield bonds and loans are 1.5% and 2%, respectively. Additionally, our 2012 forecasts for bond and loan default rates are 2% and 3%, respectively.
Twelve-month rolling par-weighted default rates
16.0% 14.0% 12.0%
Nov-09 10.98% High-yield bond default rate Leveraged loan default rate
Nov-09 14.18%
Default rate
10.0% 8.0% 6.0% 4.0% 2.0% 0.0% Jan-94 Jan-95 Jan-96 Jan-97 Jan-98 Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08
Nov-10 2.18% Nov-10 0.74%
Jan-09 Jan-09
Sources: J.P. Morgan; S&P LCD.
Twelve-month rolling issuer-weighted default rates

14.0% 12.0% 10.0% Default rate 8.0% 6.0% 4.0% 2.0% 0.0% Jan-94 Jan-95 Jan-96 Jan-97 Jan-98 Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-10
63
Nov-10 2.86% Nov-10 2.16%
High-yield bond default rate Leveraged loan default rate

Oct-09 10.04% Oct-09 7.89%
Default activity was generally pretty steady over the course of the year, with the number of defaults ranging from 2 to 5 in each month except for January when 8 companies defaulted. This is a dramatic change from last year when an average of 10 companies defaulted per month. Default volumes reflected a different story, with
Jan-10
total default volume increasing to a YTD high of $4.1 billion in the most recent month (November). Specifically, bond default volume increased for six consecutive months through November, from no defaults in May to $3 billion, and outpaced bank loan default volume in September, October and November, after trailing loan volumes during the prior 9-month stretch. Indicative of this pick up in defaults at the tail end of the year, six of the ten largest YTD defaults (including both bonds and loans) occurred in the 70 days leading up to November 30 Novembers 5 defaults reflected the second, third, eighth, fifteenth, and sixteenth largest YTD.
Bond default volume increased for six consecutive months through November
9.0 8.0
Default volume ($bn)
High-yield bonds
Bank loans
7.0 6.0 5.0 4.0 3.0 2.0 1.0 2.5 0.2 2.3 2.9 2.0 0.1 1.1 1.0 2.6 2.2 0.4 2.3 0.1 0.8 0.8 0.3 0.5 0.2 0.2 1.1 0.2 0.4 2.4 0.3 0.9 1.9 3.0 2.4 5.8 4.4 1.1
Aug-09
Sep-09
Aug-10
Sep-10
Nov-09
Dec-09
May-10
The average size of defaults in 2010 was $463 million per company, down considerably from $1.6 billion in 2009 (including both bank and bond debt). There were only five $1 billion-plus defaults this year, compared with 30 in 2009these five defaults accounted for 30% of the years total defaulted volume. The largest default was Boston Generating, which defaulted on $2.0 billion in institutional loans. The power generation company filed Chapter 11 in August. Ambac Financial, the financial guarantee and services company, missed an interest payment on November 1 and eventually filed Chapter 11 seven days later. The default was the second largest bankruptcy in 2010, affecting $1.2 billion in bonds. The third largest default was advertising and marketing services provider, Vertis, Inc, which defaulted on $736 million in bonds and $395 million in loans (total of $1.1 billion). The prepackaged Chapter 11 reorganization comes roughly two years after Vertis and American Color Graphics merged during a combined Chapter 11 filing in 2008. The fourth largest default was Canadian casino operator, Gateway Casinos & Entertainment, which affected $1.1 billion in institutional bank loans after the company did not make interest payments due on its 1st and 2nd lien credit facilities. Rounding out the five largest defaults was TerreStar Networks, a provider of mobile satellite coverage throughout the U.S. and Canada, who filed Chapter 11, affecting $996 million in bonds and $100 million in loans.
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Nov-10
Oct-09
Feb-10
Jan-10
Mar-10
Jun-10
Oct-10
Jul-09
Apr-10
Jul-10
20 Largest defaults in 2010

Date 18-Aug-10 01-Nov-10 17-Nov-10 07-Jan-10 19-Oct-10 23-Sep-10 10-Feb-10 17-Nov-10 16-Apr-10 01-Oct-10 27-Jan-10 09-Jul-10 24-Feb-10 03-Feb-10 17-Nov-10 01-Nov-10 17-May-10 28-Jul-10 31-Aug-10 04-Aug-10 Company Bonds ($ mn) Boston Generating Ambac Financial Group 1,247.2 Vertis Holdings 736.1 Gateway Casino TerreStar Networks 995.6 Blockbuster 930.0 Penton Media American Media Operations 387.3 Green Valley Ranch Angiotech Pharmaceuticals 575.0 Natural Products Oriental Trading White Birch Paper Company Movie Gallery Local Insight Regatta Holdings 210.5 Indianapolois Downs 447.6 Neff Rental 34.3 American Safety Razor Graceway Pharmaceuticals FGIC Corp 261.9 Total 5,825.6 Percent of YTD default volume 79% Institutional loans($ mn) 1,975.1 395.0 1,104.8 100.0 869.0 430.6 763.5 565.0 565.0 542.2 540.9 310.9 377.9 384.3 330.0 46.0 9,300.2 80% Total 1,975.1 1,247.2 1,131.1 1,104.8 1,095.6 930.0 869.0 817.9 763.5 575.0 565.0 565.0 542.2 540.9 521.4 447.6 412.2 384.3 330.0 307.9 15,125.8 80% Industry Utility Financial Diversified Media Gaming/Lodging Cable and Satellite Retail Diversified Media Diversified Media Gaming/Lodging Healthcare Consumer Products Consumer Products Paper/Packaging Retail Diversified Media Gaming/Lodging Services Consumer Products Healthcare Financial
Note: Through November 30. Source: J.P. Morgan
The Diversified Media sector was once again the industry most impacted by defaults in 2010, as 7 companies defaulted in 2010, or 17.1% of all defaults (including bonds and loans). Last year, the sector was responsible for 14 of the years 120 bankruptcies, or 11.7% of the total. Defaults were also concentrated in the Consumer Products and Services sectors, each with 5 companies defaulting during the year, or 12.2% of all defaults. Several industries recorded no defaults in 2010, including Automotive, Chemicals, Energy, Technology, Telecommunications, and Transportation, all of which combined for 34 of the 120 defaults in 2009, including 10 and 11 defaults in the Automotive and Energy sectors, respectively. By dollar volume, Diversified Media defaults accounted for $3.9 billion (20.8%), followed by Gaming Lodging and Leisure ($2.3 billion, 12.2%) and Utility ($2.3 billion, 11.9%).
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2010 defaults by industry

Percent of total bond and loan default volume
Broadcasting 0.6%
Utility 11.9%
Cable and Satellite 5.8% Consumer Products 9.9%
4
Paper and Packaging 4.4% Metals and Mining 1.2%
Services 6.0%
Retail 8.3% Diversified Media 20.8%
Industrials 1.6% Housing 2.0% Healthcare 6.5% Financial 8.2% Food and Beverages 0.7%
Gaming Lodging and Leisure 12.2%
Note: 2010 data is through November 30. Source: J.P. Morgan.
Based on the ratings for bonds 12 months prior to their default, 9 of the years 19 bond defaults were rated Caa1, Caa2, or Caa3 a year prior to their bankruptcy. Using an estimated total of 215 CCC-rated issuers at the start of 2010 implies a 4.2% default rate for CCCs. Defaults rated single-B twelve months prior to their default totaled 2, and based on an estimated 313 single-B issuers at the start of the year implies a 0.6% default rate. Interestingly, 8 defaults were either rated Ca or nonrated one year prior to default, and based on an estimated 85 issuers in this basket at the start of the year implies a 9.4% default rate. Based on the ratings for bonds at their last offering date, 9 defaults were rated single-B at their last offering, while 4 were rated triple-C. Two companies, Ambac Financial and FGIC Corp, were rated investment grade at their last offering dateboth were fallen angels in 2008.
Upgrades and downgrades

Credit conditions remained strong throughout 2010, a trend extended from the end of last year, as upgrades outnumbered downgrades in each of the years first 11 months and 15 consecutive months dating back to September. Overall there were 353 upgrades totaling $335 billion of bonds, compared with 233 downgrades totaling $196 billion, which equates to an upgrade-to-downgrade ratio by issuer of 1.52:1. By comparison, there were 212 upgrades affecting $242 billion in 2009, compared with 481 downgrades affecting $419 billion (0.44:1). Notably, the dollar volume of upgraded bonds through November is on pace to break 2006s current record of $352 billion. The 12-month trailing ratio of upgraded issuers to downgraded issuers increased to 1.57:1 as of November 30, from 0.44:1 at the start of the year and a record-low of 0.24:1 17 months ago.
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Rolling 12-month upgrade-to-downgrade ratio by issuer

1.80 LTM upgrade-to-downgrade ratio 1.60 1.40 1.20 1.00 0.80 0.60 0.40 0.20 0.00 Dec-95 Dec-96 Dec-97 Dec-98 Dec-99 Dec-00 Dec-01 Dec-02 Dec-03 Dec-04 Dec-05 Dec-06 Dec-07 Dec-08 Dec-09 30-Jun-09 0.24 30-Nov-10 1.57
Annual upgrades and downgrades by issuer

700 Upgrades 600 Downgrades 500 400 300
223 259 280 237 230 194 214 425 446 439 376 392 330 301 287 238 212 233 586 597 547 496 470 481 353
200 100 0
147 114 95 72
135 93
139
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
419 242
Annual upgrades and downgrades by dollar amount

600.0 Upgrades 500.0 400.0 ($ bn) 300.0 200.0 100.0 0.0 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
40 39 46 80 69 25 98 109 127 95 97 119 73 245 507 446 391 352 334 227 167 222 197 268 267 335
Downgrades
148
2010
196
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The Energy sector benefited the most from upgrades by the ratings agencies this year, leading the way with 30 upgraded issuers (8.6%), the fourth consecutive year the sector has registered the most upgrades. The Healthcare and Paper and Packaging sectors also benefited from upgrades, as each sector had 24 companies upgraded (6.9%) during the year. By dollar volume affected, it was the Automotive sector that benefited the most, $48 billion of debt was upgraded (14.4% of total debt affected), followed by Financial, $33 billion (10.0%).
2010 upgrades by industry
Percent of total issuers
Telecommunications Transportation Utility 2.0% 2.6% 3.7% Technology 4.9% Services 3.2% Retail 5.7% Consumer Products 5.2% Paper and Packaging 6.9% Automotive 6.3% Broadcasting 3.7% Cable and Satellite 3.7% Chemicals 5.4%
Diversified Media 4.0%
Metals and Mining 4.6% Industrials 5.2% Housing 4.3%
Energy 8.6%
Financial 4.6% Healthcare 6.9% Food and Beverages 4.3%
Note: 2010 data is through November 30. Source: J.P. Morgan
Largest upgrades in the high-yield market

2010 Date 08-Oct-10 28-Jan-10 13-Aug-10 14-Apr-10 17-May-10 06-Jul-10 14-Oct-10 29-Nov-10 04-Mar-10 26-Mar-10 Issuer Amount ($ mn) Ford Motor Company 37,739.8 Ally Financial 17,854.2 QWest Communications International 11,733.7 Harrah's Operating 8,299.4 Macys Retail Holdings 8,183.1 MGM Mirage 6,710.4 Energy Future Holdings 5,720.4 Lyondell Chemical 5,490.3 Teck Resources 5,425.0 Georgia-Pacific 5,050.0 Total 112,206.4 Industry Automotive Financial Telecommunications Gaming Lodging and Leisure Retail Gaming Lodging and Leisure Utility Chemicals Metals and Mining Paper and Packaging
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The Energy industry was also most affected by downgrades in terms of number of companies (38, 15.8% of the total), while it ranked second by dollar volume ($30.5 billion, 15.5%).The Financial industry ranked second in term of downgraded companies (34, 14.1%) and had the most debt affected ($43.8 billion, 22.2%). Other sectors largely affected by downgrades, at least in terms of total debt affected, were Telecommunications ($30.2 billion, 15.3%) and Utility ($23.3 billion, 11.8%).
2010 downgrades by industry
Transportation 3.7% Telecommunications 3.3% Technology 2.9% Services 4.1% Retail 2.9% Paper and Packaging 4.1% Metals and Mining 0.8% Industrials 5.0% Housing 5.8% Healthcare 5.4% Gaming Lodging and Leisure 8.3% Food and Beverages 4.1% Financial 14.1% Diversified Media 4.1% Utility 6.2% Automotive 0.8% Broadcasting 1.7% Cable and Satellite 0.4% Chemicals 2.1% Consumer Products 4.1%
Energy 15.8%
Largest downgrades in the high-yield market

2010 Date 24-Feb-10 04-Mar-10 12-Oct-10 23-Nov-10 12-Apr-10 14-Sep-10 04-Feb-10 13-Apr-10 18-Jun-10 09-Jul-10 Issuer American International Group Sprint Nextel Corporation Energy Future Holdings Regions Financial Corp Edison International Pulte Home Windstream Dynegy Lyondell Chemical iStar Financial Total Amount ($ mn) 20,050.0 18,884.3 11,021.4 6,200.0 4,424.7 4,308.4 4,146.0 3,651.8 3,240.3 3,045.1 78,972.0 Industry Financial Telecommunications Utility Financial Utility Housing Telecommunications Utility Chemicals Financial
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Overall, 17 of 21 industries maintained an upgrade-to-downgrade ratio (by issuer) that was greater than or equal to 1:1. Cable and Satellite had the best ratio of 13:1, followed by Automotive and Metals and Mining, with ratios of 11:1 and 8:1, respectively. The Utility and Financial sectors had the lowest upgrade-to-downgrade ratios, both with ratios of 0.5:1.
Issuer upgrade-to-downgrade ratio by industry

Upgrade-to-downgrade ratio by issuer 14.0 13.0 12.0 10.0 8.0 6.0 4.0 2.0 0.0
Retail Technology Telecommunications Food and Beverages Chemicals Consumer Products Services Energy Cable and Satellite Broadcasting Paper and Packaging Healthcare Industrials Transportation Metals and Mining Diversified Media Gaming Lodging and Leisure Automotive Financial Housing Utility
11.0 8.0
3.8 3.3 2.9 2.4 2.4 1.8 1.8 1.6 1.5 1.5 1.4 1.1 1.1 1.0 0.8 0.8 0.5 0.5
Note: Year to date through November 30, 2010. Source: J.P. Morgan.
Fallen angels and rising stars

The number and dollar volume of rising stars outpaced fallen angels in 2010, marking only the second time in the last 11 years that has occurred. Specifically, 19 companies were upgraded to investment-grade from high yield affecting $33 billion in bonds. Meanwhile, 13 companies were downgraded to high-yield from investmentgrade affecting $28 billion in bonds. By comparison, rising stars totaled 15 and $13 billion in 2009, while fallen angels totaled 58 and a record high $150 billion.
Volume of fallen angels and rising stars
150.0 125.0 100.0 ($ bn) 75.0 50.0 25.0 0.0
2010 YTD
142
150
Rising stars
Fallen angels
113
66 51 40 16 6 24 15 12 16 3 14 29 11 10 25 24 31 16 13 37 38 30 30 19 27 13 56 33 28
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
70
2009
Number of fallen angels and rising stars

70 60 50 40 30
20 37 31 27 23 23 17 6 18 18 13 13 49 44 39 29 26 22 25 43 36 27 22 30 24 25 27 19 15 13 63
Rising stars
58
Fallen angels
4
2010 YTD
20 10 0 1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
The Technology sector was most impacted by rising stars, as four companies were upgraded from high yield to investment grade in 2010. The total dollar volume of bonds affected by rising stars within the sector was only $2.5 billion, or 7.7% of the total, good for only the fifth most among all sectors. The sector most affected by rising stars in terms of dollar volume was Metals and Mining ($978 billion, 29.8%), as two of the four largest fallen angels (Teck Resources and Freeport McMoRan Copper & Gold) resided in the industry. Despite having only one rising star, the Telecommunications sector accounted for the second most debt affected by rising stars ($7.9 billion, 24.2%), as Qwest Communications was the years largest rising star.
2010 rising stars by industry
Percent of total debt affected
Automotive 1.7% Telecommunications 24.2%
Cable and Satellite 13.7% Chemicals 1.6% Energy 3.2%
Technology 7.7%
Financial 11.8%
Healthcare 6.1%
Metals and Mining 29.8%
Note: 2010 data is through November 30. Source: J.P. Morgan 71
2009
Largest rising stars in the high-yield market

2010 Date 13-Aug-10 27-Apr-10 04-Mar-10 13-Oct-10 13-Sep-10 12-May-10 11-Jun-10 12-Nov-10 08-Jun-10 04-Feb-10 Issuer Qwest Communications Teck Resources DirecTV Holdings/Finance Freeport-McMoRan Copper & Gold HBOs plc UnumProvident National Semiconductor Mariner Energy Watson Pharmaceuticals Ventas Realty Total Percent of total fallen angels Amount ($ mn) 7,924.7 5,425.0 4,500.0 4,090.0 2,750.0 1,127.0 1,000.0 900.0 850.0 723.1 29,289.8 89.5% Industry Telecommunications Metals and Mining Cable and Satellite Metals and Mining Financial Financial Technology Energy Healthcare Healthcare
The Financial sector was impacted the most by fallen angels, as the sector accounted for 4 of the 13 companies that were downgraded to junk in 2010. Total debt affected was $6.5 billion, or 23% of the total debt affected and good for the second highest volume by sector. The Energy sector, thanks to the years largest fallen angel, Anadarko Petroleum ($12.7 billion), was the sector most impacted by fallen angels ($16.8 billion, 60%). Anadarko, which was downgraded to high-yield on June 18, is now among the largest issuers in our J.P. Morgan Global High-Yield Index, ranking tenth, as of November 30, with a market weight of 0.57%. The next industry most impacted by fallen angels in 2010 was Utility, as two companies, FirstEnergy and Rockies Express, were downgraded from investment grade totaling $3.1 billion (10.9% of total volume).
2010 fallen angels by industry
Telecommunications 1.4% Healthcare 2.1% Gaming Lodging and Leisure 1.9% Utility 10.9% Consumer Products 0.4%
Financial 23.3% Energy 60.0%
Note: 2010 data is through November 30. Source: J.P. Morgan 72
Largest fallen angels in the high-yield market

2010 Date 18-Jun-10 01-Nov-10 29-Jul-10 11-Feb-10 21-Oct-10 12-Mar-10 02-Jul-10 01-Nov-10 25-Jun-10 02-Nov-10 Issuer Anadarko Petroleum Corp Regions Financial Corp NGPL Pipeco FirstEnergy Marshall & Iisley Corporation Rockies Express QEP Resources AmSouth Bank Universal Health Services Seminole Tribe Total Percent of total rising stars Amount ($ mn) 12,659.0 3,550.0 3,000.0 1,750.0 1,627.1 1,300.0 1,150.0 850.0 600.0 535.2 27,021.2 96.4% Industry Energy Financial Energy Utility Financial Utility Energy Financial Healthcare Gaming Lodging and Leisure
Merger and acquisition activity

Merger and acquisition (M&A) activity decreased for the third consecutive year, following four consecutive years of growth. Total domestic M&A activity accounted for $806 billion in 2010 (through November 30), compared with $903 billion in full-year 2009. This years transaction volume is on pace to be the lowest since 2003. In terms of the number of transactions, there were 2,148 in the first 11 months of 2010, a slight increase over last years 1,986 transactions, but still low relative to the previous 10 years in which an average 3,470 transactions occurred. A few interesting takeaways from this years M&A activity were: 1) 81 transactions were LBOs totaling $61.8 billion; 2) 87.1% of the deals were less than $500 million in size, while 7.4% were greater than $1 billion; 3) the average premium paid was 32.84%; 4) the largest transaction was Exxon Mobil Corps takeover of XTO Energy ($41.4 billion). Specific to high yield, M&A activity involving high-yield issuers accounted for $171 billion in deal volume through November 30, compared with $109 billion last year, $57 billion in 2008 and $429 billion in 2007.
Domestic mergers and acquisitions
(1990 to 2010)
2500 2250 Transaction value ($ bn) 2000 1750 1500 1250 1000 750 500 250 0 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
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466 275 334 197 205 687 851 718 592 1192 1470 1290 1230 970 1180 903 806 1890 1730 1460 2380
Notes: 1. Data is based on North American completed transactions greater than $10 million. 2. 2010 data is through November 30. Sources: Thomson Financial Securities Data; Bloomberg.
In 2010 (through November 30), 112 M&A transactions were completed, valued at over $100 million each, in which the target company was a high-yield debt issuer. These transactions represented $108 billion, compared with 42 deals for $61 billion last year. Twenty deals were valued at more than $1.0 billion in 2010, compared with only 11 last year. The largest transaction was the acquisition of Affiliated Computer Services by Xerox Corp; the transaction totaled $7.9 billion and accounted for 7% of the total debt affected by acquisitions of high-yield targets. The industry that saw the most transactions was Energy, in which 31 deals took place, or 27% of the total. By dollar volume affected, Energy was again the top industry, with $20.3 billion in total transaction value (19%), followed by Technology, in which $15.7 billion of total debt was affected (15%).
2010 acquisitions of high-yield issuers by industry
Transportation 3.2% Telecommunications 1.8% Technology 14.6% Utility 1.5% Automotive 4.7% Cable and Satellite 6.0% Chemicals 5.5% Consumer Products 0.5% Diversified Media 0.3% Services 4.0% Retail 5.6% Paper and Packaging 0.8% Metals and Mining 1.7% Industrials 3.3% Housing 0.4% Healthcare 8.7% Gaming Lodging and Leisure 1.2%
Energy 18.8%
Financial 11.8%
Food and Beverages 5.7%
Note: Based on data through November 30, 2010. Sources: Bloomberg; J.P. Morgan.
Largest acquisitions of high-yield issuers

2010 Date Announced 08-Feb-10 01-Jul-10 20-Oct-10 19-Aug-10 01-Oct-10 11-Nov-10 30-Jul-10 03-Aug-10 28-Sep-10 28-Oct-10 Target Affiliated Computer Services Inc QEP Resources Inc Burger King Holdings Inc General Growth Properties Inc NBTY Inc Mariner Energy Inc Interactive Data Corp Fidelity National Information Valeant Pharmaceuticals International Intergraph Corp Acquirer Xerox Corp Shareholders 3G Capital Inc Multiple acquirers Carlyle Group/The Apache Corp Multiple acquirers Shareholders Valeant Pharmaceuticals Hexagon AB Transaction Size ($ mn) 7,891.0 5,398.1 3,933.9 3,925.0 3,812.0 3,801.5 2,996.2 2,500.0 2,433.5 2,125.0 38,816.3 Industry Technology Energy Food and Beverages Financial Retail Energy Services Financial Healthcare Technology
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In 2010 (through November 30), 128 M&A transactions were completed, valued at over $100 million each, in which the acquirer was a high-yield debt issuer. These transactions represented $94.3 billion, compared with 47 deals for $48.0 billion in full-year 2009. Twenty-three deals were valued at more than $1.0 billion in 2010, compared with seven last year. The largest transaction was Frontier Communications acquisition of 4.8 million access lines from Verizon Communications. The transaction was valued at $8.2 billion and accounted for 8.7% of the total volume of M&A transactions in which the acquirer was a high-yield company. The industry that saw the most transactions was Energy, in which 24 deals took place, or 19% of the total. By dollar volume affected, Energy was the most affected industry, with $15.4 billion in total debt affected (16%), and followed by Telecommunications ($12.4 billion, 13%).
2010 acquisitions by high-yield issuers by industry
Utility 2.8% Automotive 3.5% Broadcasting 0.4% Cable and Satellite 6.2% Chemicals 5.3% Consumer Products 4.8% Technology 3.6% Services 3.3% Retail 0.6% Paper and Packaging 1.1% Metals and Mining 7.8% Industrials 3.9% Housing 0.6% Healthcare 11.1% Diversified Media 1.2%
Transportation 3.7% Telecommunications 13.1%
Energy 16.3%
Financial 5.2% Food and Beverages 4.3%
Largest acquisitions by high-yield issuers

2010 Date Announced 01-Jul-10 28-Jan-10 16-Apr-10 10-Mar-10 30-Apr-10 01-Oct-10 08-Nov-10 01-Oct-10 06-May-10 16-Nov-10 Target Verizon Comm: 4.8 million access lines Unitymedia GmbH Terra Industries Inc Encore Acquisition Co Appalachian E&P Business General Motors Financial Co Inc Inergy Holdings LP Continental Airlines Inc Tommy Hilfiger Corp Psychiatric Solutions Inc Total Acquirer Frontier Communications Corp Liberty Global Inc CF Industries Holdings Inc Denbury Resources Inc Consol Energy Inc General Motors Co Inergy LP United Continental Holdings Inc Phillips-Van Heusen Corp Universal Health Services Inc Transaction Size ($ mn) 8,244.8 5,224.8 4,286.5 4,062.2 3,475.0 3,306.5 3,222.0 3,185.6 3,144.6 3,114.4 41,266.4 Industry Telecommunications Cable and Satellite Chemicals Energy Metals and Mining Automotive Energy Transportation Consumer Products Healthcare
Note: 2010 data is through November 30. Sources: J.P. Morgan; Bloomberg. 75
Equity issuance
Total public equity issuance of $154.8 billion in 2010 (through November 30) was down 32% from last years $229.1 billion. By comparison, total equity issuance was $174.9 billion in 2008, $188.8 billion in 2007, and $152.7 billion in 2006. There were 171 IPOs during the year totaling $44 billion, compared with 545 additional offerings totaling $110.7 billion. In 2009, IPOs totaled 80 and $20 billion, while additionals totaled 653 and $209 billion. Activity was relatively even through the first three quarters, as total issuance was $32 billion in 1Q, $35 billion in 2Q, and $37 billion in 3Q. However, during the first two months of 4Q, equity issuance totaled $51.3 billion. High-yield equity offerings totaled a record-high $43.9 billion through November 30, compared with $29.1 billion during full-year 2009 and a 15year average of $23.3 billion per year. The percentage of total equity issuance that belonged to high-yield companies was 28.4%, another record, compared with 12.7% in 2009.
Public equity issuance by high-yield issuers
versus S&P 500 price-to-earnings ratio
$120.0 Public equity issuance ($ bn) $100.0 $80.0 $60.0 30.0x $40.0 $20.0 $0.0
1Q90 4Q90 3Q91 2Q92 1Q93 4Q93 3Q94 2Q95 1Q96 4Q96 3Q97 2Q98 1Q99 4Q99 3Q00 2Q01 1Q02 4Q02 3Q03 2Q04 1Q05 4Q05 3Q06 2Q07 1Q08 4Q08 3Q09 2Q10
Equity issuance
S&P 500 price-to-earnings ratio
70.0x 60.0x 50.0x 40.0x S&P 500 P/E ratio
20.0x 10.0x 0.0x
Note: Fourth-quarter 2010 is through November 30. Sources: J.P. Morgan; Bloomberg.
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Quarterly public equity issuance by high-yield issuers

$25.0
21.9
Public equity issuance ($ bn)
$20.0 $15.0 $10.0

5.8 6.2 4.8 2.7 1.3 5.6 3.0 1.3 1.7 1.4 2.8 14.4 12.9 9.6 7.4 8.1 8.1 4.6 4.2 5.5 6.3 6.8 4.0 10.5 10.4 8.9 6.7 9.1 7.4 4.6 7.9 8.9 5.9 3.6 4.1 2.4 5.1 1.7 2.4 5.8 3.1 9.1 9.8
4
3Q10
$5.0 $0.0 1Q00
3Q00
1Q01
3Q01
1Q02
3Q02
1Q03
3Q03
1Q04
3Q04
1Q05
3Q05
1Q06
3Q06
1Q07
3Q07
1Q08
3Q08
1Q09
3Q09
Note: 4Q10 data is through November 30. Sources: J.P. Morgan; Bloomberg.
The Energy sector, like last year, accounted for the greatest number of high-yield equity offerings; 30 deals (26.8%) totaling $6.0 billion (13.7%) priced in 2010. The Financial and Transportation sectors saw the second and third largest number of equity offerings, with 18 (16.1%) and 11 (9.8%), respectively. In terms of dollar volume of high-yield offerings, Automotive companies, with $17.3 billion of issuance was easily the most of any sector, accounting for nearly 40% of the total transaction volume in 2010. Financial offerings totaled $7.9 billion (18.0%), good for the second highest total, followed by the previously mentioned Energy sector.
2010 equity issuance by high-yield issuers
Transportation 9.8% Technology 6.3% Services 2.7% Retail 2.7% Paper and Packaging 1.8% Metals and Mining 4.5% Industrials 5.4% Housing 2.7% Healthcare 2.7% Gaming Lodging and Leisure 4.5% Food and Beverages 0.9% Financial 16.1% Energy 26.8% Utility 0.9% Automotive 7.1% Cable and Satellite 1.8% Chemicals 1.8% Consumer Products 1.8%
Note: 2010 data is through November 30. Sources: J.P. Morgan; Bloomberg.
1Q10
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Largest equity offerings by high-yield issuers

2010
Date 18-Nov-10 15-Nov-10 25-Mar-10 16-Nov-10 16-Nov-10 12-Nov-10 15-Apr-10 14-Apr-10 13-Oct-10 13-Aug-10 Issuer General Motors Co General Growth Properties Inc Consol Energy Inc El Paso Pipeline Partners LP TRW Automotive Holdings Corp Sensata Technologies Holding NV CF Industries Holdings Inc Popular Inc MGM Resorts International Avago Technologies Ltd Total Amount ($mn) 15,774.0 1,991.3 1,636.3 1,220.9 1,058.9 1,050.8 1,000.0 1,000.0 868.8 739.3 26,340.2 Industry Automotive Financial Metals and Mining Energy Automotive Industrials Chemicals Financial Gaming Lodging and Leisure Technology
Note: 2010 data is through November 30. Sources: J.P. Morgan; Bloomberg.
Calls
Due to robust capital market conditions, the total volume of called debt increased two-fold year over year in 2010, as 179 companies called all or part of 244 issues totaling $45.3 billion, compared with only 111 called deals totaling $22.7 billion in 2009. This years total is on pace to become the second highest total on record, trailing only 2004s $60.7 billion of called high-yield bonds. Thirty issues were called in the Energy sector, or 12.3% of total issues, the most among all industries. Also contributing a large number of calls were the Housing and Consumer Products sectors, contributing 18 and 17 transactions, respectively. As a percent of total dollar volume called, Energy accounted for 12.7%, totaling $5.8 billion, the largest volume of any sector, followed by Metals and Mining ($4.2 billion, 9.3%) and Financial ($4.1 billion, 9.1%).
Amount of high-yield bonds called
70.0 60.7 60.0 Called debt ($ bn) 50.0 40.0 30.0 20.0 10.0 0.0 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 5.5 5.0 5.6 14.8 17.1 10.4 11.5 11.6 14.9 37.6 38.2 27.4 22.7 46.3 45.3
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2010 high-yield bond calls by industry

Percent of total issues
Transportation 3% Telecommunications 3% Technology 4% Services 5% Retail 6% Paper and Packaging 5% Metals and Mining 4% Utility 2% Automotive Broadcasting 3% Cable and Satellite 2% 3% Chemicals 3% Consumer Products 7% Diversified Media 2% Energy 12%
Financial 6% Food and Beverages 5% Housing 7% Healthcare 6% Gaming Lodging and Leisure 6%
Industrials 5%
Largest calls in the high-yield market

2010
Date 16-Sep-10 18-Nov-10 08-Nov-10 04-Nov-10 15-Feb-10 29-Nov-10 29-Nov-10 01-Apr-10 29-Sep-10 29-Nov-10 Issuer Chesapeake Energy MetroPCS FMG Finance Pty Ltd CIT Group Funding Co of Delaware Icahn Enterprises Host Marriott United Rentals Freeport-McMoRan Copper & Gold Goodyear Tire & Rubber Nielsen Finance LLC Total Amount ($mn) 2,040.0 1,636.9 1,593.5 1,397.0 1,330.8 1,171.0 1,155.5 1,000.0 972.9 870.0 13,167.7 Industry Energy Telecommunications Metals and Mining Financial Financial Gaming Lodging and Leisure Services Metals and Mining Automotive Diversified Media
Tenders
Tendered debt increased to $47.9 billion in 2010, up from $45.5 billion during all of last year, and on pace to become the second highest volume all time. The current record is $63.8 billion that was tendered in 2007. The Financial sector accounted for largest number of tenders (52, 15.8%), followed by Housing (40, 12.2%) and Energy (33, 10.0%). The Energy sector accounted for the largest tendered-debt volume ($8.0 billion, 16.6%), followed by Cable and Satellite ($3.9 billion, 8.2%) and Healthcare ($3.8 billion, 7.8%).
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Amount of high-yield debt tendered

70.0 60.0 Tendered debt ($ bn) 50.0 40.0 30.0 20.0 10.0 1.2 0.0 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2.2 3.6 6.1 13.6 22.4 15.7 12.9 9.6 8.8 40.2 38.7 49.0 35.5 45.5 47.9 63.8
18.6
2010 high-yield bond tenders

Transportation 1.8% Telecommunications 5.6% Technology 5.6% Services 1.8% Retail 5.2% Paper and Packaging 3.7% Metals and Mining 3.7% Industrials 6.2% Housing 5.0% Healthcare 7.8% Gaming Lodging and Leisure 3.7% Financial 4.4% Food and Beverages 3.1% Energy 16.6% Utility 2.0% Automotive 2.8% Broadcasting 2.5%
Cable and Satellite 8.2% Chemicals 3.6% Consumer Products 5.8% Diversified Media 0.9%
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Largest high-yield tendered deals by high-yield issuers

2010
Date 16-Feb-10 11-May-10 30-Aug-10 24-Mar-10 01-Nov-10 30-Aug-10 04-May-10 22-Sep-10 10-May-10 30-Sep-10 Issuer Williams Companies Charter Communications Chesapeake Energy Qwest Capital Funding Davita Wynn Las Vegas Rexnord Visant Holding Corporation Cablevision Systems Freescale Semiconductor Total Amount ($mn) 2,999.8 1,421.8 1,394.2 1,297.9 1,288.5 1,234.0 1,067.4 1,026.0 973.2 969.3 13,672.0 Industry Energy Cable and Satellite Energy Telecommunications Healthcare Gaming Lodging and Leisure Industrials Consumer Products Cable and Satellite Technology
International event risk

The net impact of event risk in the international high-yield market was positive in 2010. Similar to the domestic default environment, international default activity was benign throughout the year. Only 7 non-domestic companies defaulted in 2010, totaling US-equivalent $3.2 billion in bondsthere were no defaults affecting loans in 2010. By comparison, international defaults totaled 41 companies and a USequivalent $16.2 billion in bonds and loans in 2009. International defaults accounted for 14.6% of global high-yield defaults, compared with 7.5% in 2009, 9.7% in 2008, 15.8% in 2007 and 24.3% in 2006. Breaking down international defaults by region, 4 companies were from Europe, 1 was from Asia, and 2 were from Latin America. International credit conditions improved in 2010, as upgraded issuers outnumbered downgraded issuers. The upgrade-to-downgrade ratio by issuer was 1.23:1, with 53 issuers receiving upgrades and 43 receiving downgrades (includes US-dollar issues from non-domestic issuers, as well as euro and sterling denominated debt from global issuers). By comparison, 33 companies were upgraded and 91 downgraded in 2009 (0.36:1). By dollar volume (with euro- and sterling-denominated debt exchanged into US dollars), $62.0 billion in debt was upgraded, while $42 billion was downgraded (1.47:1). In 2009, $27.0 billion in debt was upgraded, while $67.9 billion was downgraded (0.40:1).
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North American Yield Research 2010 High-Yield Annual Review December 2010
High-Yield Equity Index review
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High-Yield Equity Index review

Highlights for the year
The J.P. Morgan High-Yield Equity Index provided investors with a 13.7% return year-to-date through October 29, 2010, compared with the J.P. Morgan Global High-Yield Bond Indexs return of 14.1% and the S&P 500s return of 7.8%. Seventeen of the 21 industries in the J.P. Morgan High-Yield Equity Index provided positive returns. Gaming Lodging and Leisure was the best performer, returning 66.0%, followed by Transportation, 40.5%, and Chemicals, 34.5%. The worst performing industry was Housing, which returned -9.9%, followed by Utility, -8.0%. The correlation between stocks and high-yield bonds increased, to 73.5% at the end of October, from 48.8% at the end of last year. The J.P. Morgan High-Yield Equity Index included 550 high-yield companies as of October 29, 2010, compared with 528 companies at the end of 2009. The market capitalization of the index increased to $1.5 trillion, up 14% from last years $1.3 trillion. The Energy industry remained the largest in the J.P. Morgan High-Yield Equity Index, constituting 18.2% of the index, slightly higher than the 16.0% weighting at the end of last year. Other industries include Telecommunications (10.6%), Financial (9.2%), and Gaming Lodging and Leisure (6.9%).
High-yield equity performance

The J.P. Morgan High-Yield Equity Index provided investors with a 13.67% yearto-date total return through October 29, 2010, on the heels of a 35.61% full-year return in 2009. The High-Yield Equity Index outperformed other equity benchmarks, as the S&P 500 returned +7.84%; the Russell 2000 returned +13.59%; and the Dow Jones Industrial Average returned +8.96%. Last year the HY Equity Index outperformed these three indices by an average of 10.2%. As one would expect, the High-Yield Equity Index has historically outperformed broader equity indices during periods of improving risk appetites, and underperformed during periods of rising volatility and default risk. For example, in 2008, amidst record default activity, the HY Equity Index underperformed the three broader equity indices by an average 21%. Further to this point, from 2000 through 2002, a period characterized by high default volumes, the HY Equity Index underperformed the S&P 500 by an average of nearly 13% each year. Meanwhile, during the extended period of low default risk from 2003 through 2007, the HY Equity Index outperformed the S&P 500 by an average of 10.6% each year.
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Returns of various assets

10-Year Treasury JPMorgan JULI High-Grade Index JPMorgan Global HY Index JPMorgan HY Equity Index Russell 2000 S&P 500 Dow Jones Industrial Average JPM EMBI Global Leveraged Loans FTSE 100 MSCI Europe
1. Through October 29, 2010. Source: J.P. Morgan.
1999 -8.45% -1.89% 3.38% 30.20% 21.26% 21.04% 27.20% 24.18% 8.29% 21.01% 54.44%
2000 15.11% 9.86% -5.83% -24.48% -2.91% -9.10% -4.72% 14.41% 2.52% -8.00% -10.37%
2001 3.74% 10.70% 5.48% -27.18% 2.56% -11.87% -5.44% 1.36% 3.76% -13.85% -21.08%
2002 14.63% 10.98% 2.14% -29.79% -22.01% -22.10% -15.01% 13.12% 2.29% -21.95% -17.44%
2003 1.73% 7.86% 27.50% 56.03% 47.29% 28.69% 28.29% 25.66% 6.82% 18.39% 39.64%
2004 4.68% 5.28% 11.55% 21.81% 18.45% 10.87% 5.31% 11.73% 6.16% 11.64% 21.66%
2005 1.93% 1.68% 3.07% 14.19% 4.63% 4.93% 1.72% 10.73% 5.47% 21.28% 10.83%
2006 2007 2008 2009 1.32% 9.76% 20.22% -8.76% 4.29% 5.34% -1.84% 16.72% 11.45% 2.88% -26.83% 58.90% 16.83% 10.01% -55.60% 35.61% 18.44% -1.56% -33.49% 27.18% 15.80% 5.49% -37.00% 26.46% 19.04% 8.88% -31.93% 22.68% 9.88% 5.86% -10.91% 28.18% 6.77% 2.00% -29.10% 51.62% 14.89% 7.59% -27.99% 27.90% 34.54% 15.75% -47.34% 38.02%
20101 13.96% 10.94% 14.08% 13.67% 13.59% 7.84% 8.96% 16.11% 8.38% 8.24% 4.78%
Seventeen of the 21 industries that constitute the J.P. Morgan High-Yield Equity Index provided positive returns through October 29. Gaming Lodging and Leisure was this years best performer, as it returned 66% YTD. Las Vegas Sands (LVS), easily the largest company and best performer within the sector, was the primary contributor to the industrys strong performance. The companys stock price rose 207% to $45.88, from $14.94 at the end of 2009 and its total market weighted contribution to the sectors performance was 32.7%. In fact, the companys weighted average contribution to the overall equity indexs 13.7% was 158bp, tops among all constituents in the index (second was Fords 105bp contribution). The companys strong performance is in large part the result of strong results from their Singapore and Macau properties. The second best performing industry was Transportation, returning +41%. The strong performance was driven by the airline companies, as the three largest contributors to the sectors performance were United Continental Holdings (UAL), Delta Air Lines (DAL), and US Airways Group (LCC). UAL, the sectors second largest company, returned 125% during the YTD period, as its stock priced increased to $29.04, from $12.91 at the start of the year. Its overall market weighted contribution to the Transportation sectors 41% return was nearly half at 19.3%. Meanwhile, DAL, the sectors largest company, and LCC, the sectors top performer, contributed market weighted contributions of 7.4% and 4.2%, respectively. Much of the performance was driven by capacity and cost rationalization, mainly through consolidation (United Continental being the largest transaction), and improving booking trends. Rounding out the top five performers were Chemicals, (+34.5%), Automotive (+32.4%, led by Ford Motor Company, which accounted for almost two-thirds of the sector return with a market weighted contribution of 20%), and Cable and Satellite (+31.9%). The worst performing industry was Housing, as it returned -10%. The decline was broadly distributed as seven of the 22 companies in the sector had returns of -20% or worse, including the three largest companies, CEMEX, Masco, and Pulte Home. Also providing negative returns YTD were Utilities (-8%), Diversified Media (-1.1%), and Technology (-0.7%).
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JPMorgan High-Yield Equity Index

Year-to-date returns by industry1
80.0%
66.0%
60.0%
40.5%
40.0%
34.5% 32.4% 31.9% 24.6% 24.2% 19.9%
20.0%
14.7% 13.7%
10.7% 10.1%
8.5%
7.1%
5.4%
5.4%
3.5%
1.6% -0.7% -1.1% -8.0% -9.9%

Housing
0.0%
-20.0%
JPM HY Equity Index Services Consumer Products Energy Retail Paper and Packaging Food and Beverages Telecommunications Metals and Mining Technology Chemicals Financial Industrials Gaming Lodging and Leisure Cable and Satellite Diversified Media Transportation Broadcasting Automotive Healthcare Utility
1. Through October 29, 2010. Source: J.P. Morgan.

Year-to-date gainers Gainers Netflix Las Vegas Sands American Capital Hawk MBIA Park-Ohio Industries Polypore US Airways Group KRATON Polymers Trimas Corp United Continental Holdings Commercial Vehicle Mariner Energy Coleman Cable McMoRan Exploration Thermadyne Holdings Quiksilver Inc Atlas Pipeline Partners Prospect Medical Sinclair Broadcast
Ticker NFLX LVS ACAS HWK MBI PKOH PPO LCC KRA TRS UAL CVGI ME CCIX MMR THMD ZQK APL PZZ SBGI
Price 31-Dec-09 55.09 14.94 2.44 17.61 3.98 5.65 11.90 4.84 13.56 6.77 12.91 5.99 11.61 3.40 8.02 7.27 2.02 9.81 4.25 4.03
Price 29-Oct-10 Px change % change 173.57 118.48 215.1% 45.88 30.94 207.1% 6.98 4.54 186.1% 49.83 32.22 183.0% 11.21 7.23 181.7% 15.89 10.24 181.2% 33.27 21.37 179.6% 11.79 6.95 143.6% 32.46 18.90 139.4% 15.83 9.06 133.8% 29.04 16.13 124.9% 13.43 7.44 124.2% 24.92 13.31 114.6% 7.14 3.74 110.0% 16.84 8.82 110.0% 15.08 7.81 107.4% 4.17 2.15 106.4% 19.79 9.98 101.7% 8.44 4.19 98.6% 7.99 3.96 98.3%
Industry Retail Gaming /Leisure Financial Industrials Financial Industrials Industrials Transportation Chemicals Industrials Transportation Industrials Energy Industrials Energy Industrials Consumer Products Energy Healthcare Broadcasting
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Year-to-date losers Losers Dex One Corporation Great Atlantic & Pacific Tea Global Cash Access Hercules Offshore Sterling Chemicals Skilled Healthcare Group Dynegy Holdings Headwaters Incorporated Salem Communications Scientific Games Education Management General Maritime Comstock Resources Metals USA Dean Foods Sandridge Energy Gibraltar Industries Inc Mueller Water Products Radnet Management AK Steel
Ticker DEXO GAP GCA HERO SCHI SKH DYN HW SALM SGMS EDMC GMR CRK MUSA DF SD ROCK MWA RDNT AKS
Price Price 31-Dec-09 29-Oct-10 27.92 7.01 11.79 3.44 7.49 3.64 4.78 2.36 7.00 3.50 7.45 3.75 9.05 4.64 6.52 3.40 5.99 3.22 14.55 7.92 22.01 12.00 6.99 3.84 40.57 22.35 21.00 11.96 18.04 10.40 9.43 5.47 15.73 9.13 5.20 3.02 3.68 2.16 21.35 12.59
Px change % change -20.91 -74.9% -8.35 -70.8% -3.85 -51.4% -2.42 -50.6% -3.50 -50.0% -3.70 -49.7% -4.41 -48.7% -3.12 -47.9% -2.77 -46.2% -6.63 -45.6% -10.01 -45.5% -3.15 -45.1% -18.22 -44.9% -9.04 -43.0% -7.64 -42.4% -3.96 -42.0% -6.60 -42.0% -2.18 -41.9% -1.52 -41.3% -8.76 -41.0%
Industry Diversified Media Retail Gaming/Lodging Energy Chemicals Healthcare Utility Metals and Mining Broadcasting Gaming/Lodging Services Transportation Energy Metals and Mining Food and Beverages Energy Housing Industrials Healthcare Metals and Mining
Comparing the industry returns of the equity index with those of the bond index, we find that equities outperformed bonds in 9 of the 21 sectors. There were several commonalities in sector performance, as well as a handful of wide discrepancies. Among the industries that performed similarly were Gaming Lodging and Leisure, Chemicals, Automotive, Cable and Satellite, and Financial, as each sector was among the seven best (top third) performing industries for both the highyield bond and equity markets. At the other end of the spectrum, Technology, Healthcare, and Energy, were all among the worst third in sector performance for both asset classes. The largest discrepancy between bond and equity performance occurred in the Transportation sector, where the equity returns (+41%) ranked it as the second best performing industry and its bond performance (+6%) ranked as the worst performer. Other wide discrepancies were evidenced in the Retail sector, as it was the sixth best in the equity index (+25%) and ranked twentieth in the bond index (+10%), and the Diversified Media sector, as it was the nineteenth ranked performer in the equity index (-1%) and ranked eighth in the bond market (+15%).
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J.P. Morgan High-Yield Equity Index

Year-to-date returns by industry1 J.P. Morgan HY Equity Index YTD return Rank Gaming Lodging and Leisure Transportation Chemicals Automotive Cable and Satellite Retail Financial Industrials Consumer Products Telecommunications Broadcasting Paper and Packaging Services Food and Beverages Energy Metals and Mining Healthcare Technology Diversified Media Utility Housing
1. As of October 29, 2010. Source: J.P.Morgan.
J.P. Morgan Global HY Index YTD return Rank 14.76% 6.06% 19.24% 18.34% 15.00% 10.37% 20.91% 14.43% 13.01% 19.24% 19.91% 11.43% 11.49% 13.90% 12.82% 14.05% 12.79% 12.32% 14.52% 13.35% 13.06% 7 21 3 5 6 20 1 9 14 4 2 19 18 11 15 10 16 17 8 12 13
66.00% 40.49% 34.47% 32.37% 31.86% 24.64% 24.22% 19.87% 14.73% 10.69% 10.06% 8.53% 7.09% 5.41% 5.40% 3.55% 1.59% -0.70% -1.09% -8.00% -9.90%
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21
Volatility
Equity-market volatility declined in 2010. Volatility, as measured by the Chicago Board of Options Exchanges SPX Volatility Index (VIX), which reflects a market estimate of future volatility, averaged 23.32 during the year, compared with an average of 31.48 in 2009. During the course of 2010, the VIX declined to a low of 15.58 on April 12, climbed to a high of 45.79 on May 20, and then steadily declined to 21.20 by the end of October, which, by comparison, matched the 17year average for the index. The twelve-month total-return volatility of the J.P. Morgan High-Yield Equity Index decreased from 32.44% at year-end 2009 to 25.02% in October 2010. By comparison, the J.P. Morgan Global High-Yield Indexs twelve-month total-return volatility decreased from 11.61% at the end of last year to 6.48% in October, the lowest level since March 2008.
Volatility1 declined in 2010
70.0 60.0 50.0 40.0 30.0 20.0 10.0 0.0 Jan-94 Jan-95 Jan-96 Jan-97 Jan-98 Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10
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31-Oct-08 59.89 (intra-month high 80.86)
17-year average= 21.20
29-Oct-10 21.20
1. Chicago Board of Options Exchanges SPX Volatility Index (VIX). Source: J.P. Morgan.
After a mid-year spike, declining volatility during the second half of the year led to stronger bond and equity performance
15.0% 10.0% 5.0% 0.0% -5.0% -10.0% S&P High-yield bonds VIX 50 45 40 35 30 25 20 31-Mar 29-Apr 3-Mar 23-Aug 27-May 21-Sep 25-Jun 20-Oct 26-Jul 2-Feb 4-Jan 15 VIX
Twelve-month rolling total-return volatility

Annualized
50.0% 40.0% Annualized volatility 30.0% 20.0% 10.0% 0.0% Dec-94 Dec-95 Dec-96 Dec-97 Dec-98 Dec-99 Dec-00 Dec-01 Dec-02 Dec-03 Dec-04 Dec-05 Dec-06 Dec-07 Dec-08 Dec-09 JPMorgan Global High-Yield Index JPMorgan High-Yield Equity Index S&P 500 Russell 2000
Correlation
Returns on high-yield bonds and equities are thought to be highly correlatedthe twelve-month rolling correlation between high-yield bonds and the S&P 500 has only averaged 51% over the past 29 years. However, the relationship between these two asset classes had been very volatile during that time, as illustrated in the following chart. Historical data indicate that in times of heightened event risk or uncertainty, the equity and high-yield bond markets tend to react similarly, as investors seek out safer havens. There serves as no better example than in 2008, when record volatility led the correlation between high-yield bonds and equities to an all-timehigh 91.4%. As volatility declined during 2009, so too did the correlation between these assets. During the twelve months ended December 2009, the return correlation between the J.P. Morgan Global High-Yield Bond Index and the S&P 500 was 48.8%. During the course of 2010, although volatility declined, the correlation between stocks and high-yield bonds increased to 73.53% as of the end of October.
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Cumulative total return
The correlation between the J.P. Morgan High-Yield Equity Index and the J.P. Morgan Global High-Yield Bond Index in the twelve-months ended October 29 was 73.6%, up from 70.6% at the end of last year. The long-term average correlation between these two indices is 62.9%.
Relationship between high-yield bonds and equities is erratic1
100.0% 80.0% 60.0% Correlation 40.0% 20.0% 0.0% -20.0% -40.0%
Jan-81 Jan-82 Jan-83 Jan-84 Jan-85 Jan-86 Jan-87 Jan-88 Jan-89 Jan-90 Jan-91 Jan-92 Jan-93 Jan-94 Jan-95 Jan-96 Jan-97 Jan-98 Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10
29-Oct-10 73.53%
5
Average correlation = 51.04%
1. Twelve-month rolling correlation between the monthly returns of high-yield bonds and the S&P 500. Source: J.P. Morgan.
Correlations among various assets

Five years ended October 29, 2010 JPMorgan JULI HG Index JPMorgan JPMorgan EMBIGlobal HY Global Index Composite JPMorgan Global HY Equity Index
10-year Treasury JPMorgan JULI High-Grade Index JPMorgan Global HY Index JPMorgan EMBI- Global Composite JPMorgan Global HY Equity Index S&P 500 Wilshire 5000 Russell 2000 Leveraged loans
5-year Treasury 0.91 0.27 -0.41 0.02 -0.40 -0.32 -0.32 -0.37 -0.57
10-year Treasury 0.43 -0.32 0.19 -0.33 -0.23 -0.23 -0.28 -0.52
S&P 500
Wilshire 5000
Russell 2000
0.55 0.76 0.42 0.38 0.37 0.30 0.34
0.81 0.82 0.74 0.74 0.71 0.92
0.68 0.66 0.66 0.61 0.61
0.93 0.94 0.91 0.73
1.00 0.93 0.62
0.95 0.62
0.60
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J.P. Morgan High-Yield Equity Index profile

The J.P. Morgan High-Yield Equity Index included 550 high-yield companies as of October 29, 2010, compared with 528 companies at the end of 2009. The combined market capitalization of the index increased to $1.5 trillion, up 14% from last years $1.3 trillion. For reference, the year-end high water-mark for the indexs market capitalization was $1.7 trillion in 2007. By comparison, the S&P 500 maintains a market cap of $11.0 trillion and the Russell 2000 maintains a $1.3 trillion market cap. In terms of crossover between the J.P. Morgan Index and the broader indices, only 75 companies overlap in the S&P 500, totaling $585 billion, or 5% of the S&P 500 Index, while 258 companies overlap with the Russell 2000, totaling $218 billion, or 17% of the Russell Index. Comparatively, the J.P. Morgan Global High-Yield Bond Index consisted of 1,038 issuers and totaled $707.1 billion in debt as of October 29. Overall, 53% of the companies in our high-yield bond index have public equity (550 out of 1,038).
JPMorgan high-yield equity and bond index profiles
31-Dec-99 JPMorgan JPMorgan Global HY HY Equity Index Index 1,282 622 $301,694 $982,910 $235 $1,580 3.4% 30.2% 30-Dec-05 JPMorgan JPMorgan Global HY HY Equity Index Index 1,074 537 $459,784 $1,388,569 $428 $2,586 3.1% 14.2% 31-Dec-08 JPMorgan JPMorgan Global HY HY Equity Index Index 866 419 $310,678 $681,964 $424 $1,659 -26.8% -55.6% 31-Dec-01 JPMorgan JPMorgan Global HY HY Equity Index Index 1,187 603 $288,441 $723,527 $243 $1,200 5.5% -27.2% 29-Dec-06 JPMorgan JPMorgan Global HY HY Equity Index Index 1,033 519 $485,598 $1,515,392 $470 $2,920 11.5% 16.7% 31-Dec-09 JPMorgan JPMorgan Global HY HY Equity Index Index 973 528 $577,054 $1,331,480 $593 $2,522 58.9% 35.6% 31-Dec-03 JPMorgan JPMorgan Global HY HY Equity Index Index 1,224 595 $435,329 $1,080,457 $356 $1,816 27.5% 56.0% 31-Dec-07 JPMorgan JPMorgan Global HY HY Equity Index Index 947 474 $483,630 $1,659,026 $511 $3,500 2.9% 10.1% 31-Oct-10 JPMorgan JPMorgan Global HY HY Equity Index Index 1,038 550 $707,141 $1,518,120 $681 $2,760 14.1% 13.7%
Number of issuers Market value ($ mn) Average size ($ mn) Total cumulative return
The average market capitalization of the companies in the J.P. Morgan High-Yield Equity Index increased to $2.8 billion from $2.5 billion at the end of 2009. Of the 550 companies in the index, 145, or 26.4%, have market capitalizations greater than $3.0 billion. Meanwhile, based on market weight, these 145 companies account for nearly three-quarters of the high-yield equity index. The Energy sector accounts for 25 of these companies (17%) and $202 billion (19%). The Financial and Telecommunications sectors were next, with each accounting for 13 of the indexs 154 largest companies.
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JPMorgan High-Yield Equity Index profile

Market weight by market capitalization, by number of companies1
Less than $100 mn 5.5% $100 mn-250 mn 8.4% Greater than $3.0 bn 26.4%
Change 31-Dec-09 29-Dec-06 31-Dec-07 31-Dec-08 31-Dec-09 29-Oct-10 29-Oct-10
$250 mn-500 mn 12.4%
Less than $100 mn $100 mn-250 mn $250 mn-500 mn $500 mn-1.0 bn $1.0 bn-2.0 bn $2.0 bn-3.0 bn Greater than $3.0 bn
9.2% 6.0% 8.8% 16.9% 22.5% 11.6% 25.0%
6.6% 7.5% 12.4% 13.3% 20.6% 10.9% 28.7%
14.6% 13.3% 17.0% 14.6% 18.7% 9.0% 12.9%
7.8% 8.9% 12.5% 14.2% 21.0% 11.7% 23.9%
5.5% 8.4% 12.4% 14.5% 21.5% 11.5% 26.4%
-2.3% -0.5% -0.1% 0.3% 0.4% -0.3% 2.5%
$2.0 bn-3.0 bn 11.5%
$500 mn-1.0 bn 14.5%
$1.0 bn-2.0 bn 21.5%
1. As of October 29, 2010. Source: J.P. Morgan.

Market weight by market capitalization1
Less than $100 mn 0.1% $100 mn-250 mn 0.5% $250 mn-500 mn 1.7% $500 mn-1.0 bn 3.7% Greater than $3.0 bn 72.1% $1.0 bn-2.0 bn 11.6%
Change 31-Dec-09 29-Dec-06 31-Dec-07 31-Dec-08 31-Dec-09 29-Oct-10 29-Oct-10
Less than $100 mn $100 mn-250 mn $250 mn-500 mn $500 mn-1.0 bn $1.0 bn-2.0 bn $2.0 bn-3.0 bn Greater than $3.0 bn
0.1% 0.4% 1.2% 4.5% 11.7% 10.2% 71.9%
0.1% 0.4% 1.4% 2.9% 9.0% 7.9% 78.4%
0.4% 1.5% 4.2% 7.2% 17.9% 14.4% 54.5%
0.1% 0.6% 1.9% 4.1% 12.1% 11.6% 69.5%
0.1% 0.5% 1.7% 3.7% 11.6% 10.3% 72.1%
0.0% -0.1% -0.2% -0.4% -0.5% -1.4% 2.6%
$2.0 bn-3.0 bn 10.3%
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A look at the J.P. Morgan High-Yield Equity Indexs top issuers (by market capitalization) reveals many fallen angels of the past few years. Some past fallen angels include, Ford Motor Company (ranked number 1), this years largest fallen angel, Anadarko Petroleum (3rd), and American International Group (4th). The list of this years top 20 issuers varies quite a bit from last year, as seven companies have been replaced. The largest newcomer to the top 20 was the previously mentioned Anadarko. Three of the top nine largest companies in 2009 were removed in 2010 as a result of their upgrade to investment-grade, namely Freeport-McMoRan Copper & Gold (last years largest), DIRECTV (2nd largest), and Teck-Resources (9th largest). In all, the 20 largest companies accounted for 24.6% of the equity index as of October 29, compared with only 13.2% for the top twenty issuers in the bond index. Four companies were among the top 20 largest within both the equity and bond indices, notably Ford Motor Company was the largest company in the equity index and the fifth largest in the bond index, while Anadarko Petroleum was the third and tenth largest company in each index, respectively. The reason so few companies overlap among the top 20 is due to the large number of LBO deals in the bond index. For example, Harrahs, Intelsat, HCA, and First Data are among the 7 largest companies in the bond index and all were LBOs. In addition, CIT and LBI Escrow (LyondellBasell), the two largest companies in the bond index, emerged from default with new debt structures that included very large bonds, while the equity ranks outside the top 20 (42 and 35, respectively).
Largest issuers by market capitalization in the JPMorgan Global High-Yield Equity Index
As of October 29, 2010 Issuer Ford Motor Company Las Vegas Sands Anadarko Petroleum American Intl. Group Mobile Telesystems American Tower VimpelCom Ltd Motorola Inc Repsol YPF SA Peabody Energy Chesapeake Energy Wynn Resorts Ltd Williams Companies Crown Castle Intl. General Growth Prop. Sprint Nextel Corp Southwestern Energy Philippine Long Distance Qwest Comm. Intl. Delta Air Lines Ticker F LVS APC AIG MBT AMT VIP MOT YPF BTU CHK WYNN WMB CCI GGP S SWN PHI Q DAL Mkt. Cap ($ bn) 48.1 31.4 30.5 29.3 21.6 20.6 19.8 19.2 15.7 14.3 14.2 13.3 12.6 12.5 12.5 12.2 11.7 11.6 11.5 11.0 373.5 Market Weight 3.2% 2.1% 2.0% 1.9% 1.4% 1.4% 1.3% 1.3% 1.0% 0.9% 0.9% 0.9% 0.8% 0.8% 0.8% 0.8% 0.8% 0.8% 0.8% 0.7% 24.6% Sector Automotive Gaming/Lodging Energy Financial Telecom. Telecom. Telecom. Technology Energy Metals/Mining Energy Gaming/Lodging Energy Telecom. Financial Telecom. Energy Telecom. Telecom. Transportation
Largest issuers by market capitalization in the JPMorgan Global High-Yield Bond Index
As of October 29, 2010 Issuer CIT Group LBI Escrow Harrah's Operating Intelsat Bermuda Ford Motor Company HCA Inc. First Data Corporation Nextel Communications Intl. Lease Finance Corp. Anadarko Petroleum SLM Corp Energy Future Holdings Ally Financial NRG Energy Inc FMG Finance Pty Ltd Charter Comm. Operating Calpine Chesapeake Energy Dish DBS Reynolds Group Issuer Mkt. Cap ($ bn) 12.6 6.0 5.5 5.5 5.2 4.9 4.9 4.5 4.2 4.1 4.1 4.1 3.9 3.6 3.6 3.3 3.2 3.1 3.1 3.1 93.0 Market Weight 1.8% 0.9% 0.8% 0.8% 0.7% 0.7% 0.7% 0.6% 0.6% 0.6% 0.6% 0.6% 0.6% 0.5% 0.5% 0.5% 0.5% 0.4% 0.4% 0.4% 13.2% Sector Financial Chemicals Gaming Lodging Cable/Satellite Automotive Healthcare Technology Telecom. Financial Energy Financial Utility Financial Utility Metals/Mining Cable/Satellite Utility Energy Cable And Satellite Paper/Packaging
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The Energy industry remained the largest in the J.P. Morgan High-Yield Equity Index, accounting for 18.2% of the index as of October 29, 2010, slightly higher than the 16.0% weighting at the end of last year. Other industries include Telecommunications (10.6%), Financial (9.2%), and Gaming Lodging and Leisure (6.9%). Not surprisingly, five companies in the Energy sector were among the twenty largest equity market caps in the index, while seven companies in the Telecommunications sector were ranked in the top 20. The smallest industries in the J.P. Morgan High-Yield Equity Index in terms of market capitalization were Broadcasting (0.3%) and Diversified Media (1.0%).
Market weight by industry1
Telecommunications 10.6% Transportation 2.4% Utility Automotive Broadcasting 0.3% 1.9% 6.0% Cable and Satellite 2.3% Chemicals 3.9% Consumer Products 1.9% Diversified Media 1.0%
5
Change 31-Dec-09 to 29-Dec-06 31-Dec-07 31-Dec-08 31-Dec-09 29-Oct-10 29-Oct-10
Technology 4.9% Services 2.3% Retail 5.1% Paper and Packaging 3.3% Metals and Mining 3.5% Industrials 5.2% Housing 2.7% Healthcare 6.4%
Energy 18.2%
Financial 9.2% Gaming Lodging and Leisure 6.9% Food and Beverages 1.9%
Automotive Broadcasting Cable and Satellite Chemicals Consumer Products Diversified Media Energy Financial Food and Beverages Gaming/Leisure Healthcare Housing Industrials Metals and Mining Paper and Packaging Retail Services Technology Telecommunications Transportation Utility
4.2% 1.2% 4.6% 2.7% 2.7% 2.3% 13.1% 6.0% 3.1% 8.8% 4.8% 2.5% 4.4% 5.3% 1.9% 4.6% 2.3% 10.6% 7.5% 1.6% 6.0%
3.4% 1.5% 3.6% 5.9% 1.6% 1.1% 13.3% 4.5% 3.0% 8.5% 4.9% 1.4% 5.4% 8.5% 2.2% 4.6% 3.3% 7.1% 10.6% 1.6% 4.1%
2.5% 0.2% 5.3% 2.3% 2.1% 0.5% 17.9% 4.9% 2.7% 4.1% 6.6% 2.8% 6.6% 5.9% 3.3% 6.1% 3.6% 4.6% 10.2% 3.2% 4.4%
5.0% 0.3% 4.0% 2.1% 2.2% 1.0% 16.0% 7.8% 1.9% 4.4% 6.3% 3.3% 4.8% 8.4% 3.6% 4.3% 2.7% 6.5% 10.9% 2.2% 2.2%
6.0% 0.3% 2.3% 3.9% 1.9% 1.0% 18.2% 9.2% 1.9% 6.9% 6.4% 2.7% 5.2% 3.5% 3.3% 5.1% 2.3% 4.9% 10.6% 2.4% 1.9%
1.0% 0.0% -1.8% 1.8% -0.3% 0.0% 2.1% 1.4% 0.0% 2.5% 0.1% -0.7% 0.4% -4.9% -0.2% 0.8% -0.3% -1.6% -0.3% 0.2% -0.3%
1. As of October 29, 2010 Source: J.P. Morgan.
The Gaming Lodging and Leisure sector exhibited the largest year-over-year increase in market weight, accounting for 6.9% of the index as of October 29, 2010, up from 4.4% at year-end 2008 (+2.5%). The increase in market weight was attributable to the sectors strong performance, as its +66.0% return was, by far, the best among all sectors. The biggest gainer within the sector was Las Vegas Sands 207% gain, the company which was the second largest in the index, certainly was impactful. Wynn Resorts, the 12th largest company in the index, also performed well, with a +84% return. The biggest decline in market weight for an industry occurred in the Metals and Mining sector, as it fell to 3.5% from 8.4% y/y. The sharp decline was due to the upgrade to investment-grade of Freeport McMoRan Copper & Gold and Teck Resources. The two companies accounted for the largest and ninth largest companies overall in the index at year-end last year, and upon their upgrade, and removal from the index, resulted in a combined 4.1% of total market weight exiting the index.
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Industry weight changes of the JPMorgan High-Yield Equity Index

December 31, 2009 to October 29, 2010
4.0% 3.0% 2.0% 1.0% 0.0% -1.0% -2.0% -3.0% -4.0%
0.0% 0.0% -0.2% -0.3% -0.3% -0.3% -0.3% -0.7% -1.6% -1.8% 2.5% 2.1% 1.8%
1.4%
1.0% 0.8%
0.4% 0.2% 0.1% 0.0%
Healthcare
Automotive
Financial
Transportation
Housing
Cable and Satellite
Broadcasting
Paper and Packaging
As of October 29, 2010, the Energy sector exhibited the largest difference in market weight between the J.P. Morgan High-Yield Equity Index and the J.P. Morgan Global High-Yield Bond Index, accounting for 18.2 % of the equity index but only 12.1% of the bond index. Despite this difference in market weights, Energy was still the largest industry in both indices. The Telecommunications sector exhibited the second largest difference in market weights between the two indices, representing 10.6% of the equity index and only 6.5% of the bond index. The Service industry, with a 4.4% market weight in the bond index and a 1.9% market weight in the equity index, represented the biggest discrepancy in weightings where the bond market weight exceeded the equity weight. This is due in large part to several of the companies in the sector having investment-grade ratings on the majority of their capital structure, and as such, the high-yield rated bonds are included in the bond index, but the equities are excluded because of the predominantly investment-grade corporate ratings. (For example, NV Energy has two BB-rated bonds in the bond index, but the majority of the capital structure is rated BBB, excluding its $44 billion market cap (2.8%) from the equity index.)
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Food and Beverages
Telecommunications
Consumer Products
Metals and Mining
Diversified Media
Technology
Chemicals
Industrials
Energy
Services
-5.0%
Retail Utility
-4.9%
-6.0%
Difference between the JPMorgan high-yield equity and bond indices

Market weight by industry as of October 29, 2010 Global HY Index 3.1% 1.6% 4.4% 4.1% 2.1% 2.0% 12.1% 9.4% 3.7% 4.9% 7.3% 4.6% 5.0% 4.4% 5.3% 4.0% 4.0% 4.8% 6.5% 2.4% 4.4% HY Equity Index 6.0% 0.3% 2.3% 3.9% 1.9% 1.0% 18.2% 9.2% 1.9% 6.9% 6.4% 2.7% 5.2% 3.5% 3.3% 5.1% 2.3% 4.9% 10.6% 2.4% 1.9% Difference -3.0% 1.3% 2.1% 0.2% 0.2% 1.0% -6.1% 0.2% 1.8% -2.0% 0.9% 1.9% -0.2% 0.9% 1.9% -1.1% 1.6% -0.1% -4.1% 0.0% 2.5%
Automotive Broadcasting Cable and Satellite Chemicals Consumer Products Diversified Media Energy Financial Food and Beverages Gaming Lodging and Leisure Healthcare Housing Industrials Metals and Mining Paper and Packaging Retail Services Technology Telecommunications Transportation Utility
The average rating quality of the high-yield equity index is higher than that of the high-yield debt index. For example, 51.1% (by market value) of the equities in our index with associated debt obligations are rated BB or better, while only 30.6% of our debt index is rated BB or better. Although this difference is likely skewed by the number of large market caps among the equity indexs companies, the percentages by number of issues illustrates the same findings, albeit to a lesser degree. For example, as a percentage of the number of issues, 30.7% of the equities are associated with bonds rated BB or better versus 27.6% for the bond index. Equities associated with lower rated bonds (those rated Split B, CCC, nonrated, or defaulted) constitute 5.8% of the equity index by market value, compared with 23.8% within the bond index.
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Market weight by rating1
Not Rated 0.3% CCC/Split CCC 1.9% Split B 2.6% Default 1.0% Split BBB 17.0%
Change 31-Dec-09 to 29-Dec-06 31-Dec-07 31-Dec-08 31-Dec-09 29-Oct-10 29-Oct-10
Split BBB BB Split BB B Split B CCC NR

BB 34.1%
10.6% 45.4% 12.1% 26.7% 2.0% 2.7% 0.1%
13.4% 49.1% 6.8% 25.5% 2.6% 2.4% 0.1%
18.4% 45.4% 11.6% 19.2% 2.7% 2.6% 0.0%
22.4% 32.7% 18.9% 20.1% 2.7% 2.0% 0.2%
17.0% 34.1% 20.5% 22.6% 2.6% 1.9% 0.3%
-5.4% 1.5% 1.6% 2.5% -0.1% -0.1% 0.1%
B 22.6%
Split BB 20.5%
Difference between the JPMorgan High-Yield Equity and Bond Indices

Market weight by rating as of October October 29, 2010 JPMorgan Global HY Index 9.3% 21.3% 14.5% 31.2% 9.8% 11.3% 0.8% JPMorgan HY Equity Index 17.0% 34.1% 20.5% 22.6% 2.6% 1.9% 0.3%
Difference between the JPMorgan High-Yield Equity and Bond Indices

Percentage of total issues by rating as of October 29, 2010 JPMorgan Global HY Index 8.1% 19.5% 12.7% 30.8% 10.2% 13.0% 1.4% JPMorgan HY Equity Index 8.2% 22.5% 16.7% 34.5% 8.0% 6.0% 1.1%

Difference -7.7% -12.8% -6.1% 8.6% 7.2% 9.5% 0.5%

Difference -0.1% -3.0% -4.1% -3.8% 2.2% 7.0% 0.3%
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The case for high yield
99
100
The case for high yield

2010: High-yield bonds outperform amidst low defaults, strong demand
Modest economic growth, improving corporate conditions, strong retail inflows, and a sharp decline in default activity led to a strong 13.4% total return for high-yield bonds in 2010 (through December 2). By comparison, the S&P 500 returned 11.6%, while the Russell 2000 returned 21.5%, both outperforming leveraged loans and investment-grade bonds (each returning 8.9%) and the 10-year Treasury (10.9%). Given the accommodative backdrop for the asset class, 2010 experienced a sharp year-over-year increase in new-issue volume, with a record $288 billion priced, the majority of which was used for refinancing (67%). These conditions contributed to not only a steady decline in defaults during the yearthe default rate declined from 10.3% to 0.74%but also, a decidedly improved default backdrop for 2011 and 2012. With few higher yielding alternatives to chose from, we expect high yield to again outperform most asset classes in 2011.
Even after last years outsized performance, high-yield bonds provide strong return in 2010
70.0% 60.0% 50.0% 40.0% 30.0% 20.0% 10.0% 0.0% -10.0% -20.0% -30.0% -40.0%
58.9% 43.8% 36.3% 28.7% 20.3% 10.4% 4.3% 9.4% 15.6% 11.4% 6.5% 0.4% -6.4% 19.6% 16.7%18.9% 13.0%12.4% 3.4% 1.0% -1.6% 5.5% 2.1% 27.5% 11.5% 11.5% 2.9% 13.4%
Annual total return
3.1%
-5.8%
-26.8%
Note: 2010 returns through December 2. Source: J.P. Morgan.
Returns of various asset classes

Assets High-Yield Bonds Leveraged Loans Investment Grade Bonds Emerging Market Bonds 10-Year Treasury S&P 500 Russell 2000 2009 58.90% 51.62% 16.72% 28.18% -8.76% 26.46% 27.18% 1Q10 4.72% 4.64% 2.28% 4.16% 0.99% 5.39% 8.85% 2Q10 0.08% -1.27% 3.75% 1.16% 8.48% -11.43% -9.92% 3Q10 6.34% 3.31% 4.55% 8.33% 4.65% 11.29% 11.29% 4Q10 1.74% 1.99% -1.85% -0.83% -3.32% 7.44% 11.29% 2010 13.38% 8.86% 8.90% 13.20% 10.85% 11.62% 21.45%
Note: 4Q10 and 2010 returns are through December 2. Sources: J.P. Morgan; Bloomberg.
1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
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Prospects for high-yield bonds to remain attractive in 2011

Several supporting factors suggest that high-yield bonds will remain an attractive investment option in 2011. In particular, default rates are expected to remain low, US GDP is forecasted by our economists to grow 3.1% y/y, and interest rates are expected to gradually rise. Specifically, we forecast year-end 2011 spreads and yields of T+515bp and 7.5%, respectively, which implies the market will fully absorb the expected rise in Treasury rates with little to no price appreciation, and lead to a full-year return of 9.8%. Default risk is limited in 2011 and 2012 High-yield bond default rates have now fallen for 12 consecutive months to 0.7%, a fraction of the record 11% reached in November 2009 and still well below the 4.3% long-term average. With market technicals strong heading into next year, 2011 and 2012 maturities negligible, and US GDP growth expected to accelerate at a modest pace, our 2011 and 2012 default forecasts are 1.5% and 2%, respectively. Based on current spreads of T+591bp for bonds, implied default rates are 5.2%, significantly higher than our 2011 forecast. Conversely, our default forecast implies spreads for high-yield bonds should be T+390bp. While spreads will probably not tighten to these levels over the next 12 months given where we expect Treasury and Libor rates to end next year, this highlights the attractiveness of the bond market relative to default risk.
High-yield default rate expected to remain low through 2012
12.0%
Long-term average default rate: 4.3% 10.3% 9.1% 8.0%
Par-weighted default rates
10.0% 8.0% 6.0%

4.1% 5.0% 2.8% 1.5% 1.6% 1.5% 1.7%
4.0% 2.0% 0.0%
3.3% 2.3% 1.1% 0.9% 1.5% 0.4% 0.7% 2.0%
2011E
Note: 2010 default rates represent the ltm numbers as of November. Source: J.P Morgan.
The macroeconomic backdrop will again be an important variable in 2011 Our economists forecast US GDP growth of 3.1% y/y in 2011, which should be a positive for high yield next year. Certainly though, the arrival of a fresh set of risks including Chinese tightening, sovereign/municipal fiscal woes, rising commodity prices, persistent weakness in housing data, and rising US Treasury yields warrant attention. However to the extent any of these factors strain growth, ironically, they would in fact be a welcome respite for high yield, because of the implications for Treasury yields. A US economy tracking at a pace not too hot or too cold would serve as a Goldilocks scenario for high-yield credit. We do not expect demand for high-yield to retrench unless GDP growth proves too cold (negative GDP and the implicit negative impact on capital markets) or too hot (several consecutive quarters of +4% GDP growth that spark inflation or rate fears).
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2012E
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2006
2007
2008
2009
2010
J.P Morgan 2011 Economic outlook

4Q10E 2.5% 1.5% -1.5% 5.7% 1Q11E 2.0% 1.0% 0.5% 6.1% %q/q, saar 2Q11E 3.0% 1.5% 1.5% 6.5% %y/y 3Q11E 3.0% 1.8% 1.8% 6.0% 4Q11E 4.0% 2.0% 2.0% 6.2% 2010 2.7% 1.7% 3.5% 6.9% 2011 2.5% 1.6% 1.1% 5.7%
United States Euro area Japan Emerging Markets

Interest rate risk expected to remain positive in 2011 After cutting the target Fed funds rate to a 0.00%-0.25% range in December 2008, the Fed has kept the target rate unchanged through 2010. Low interest rates were supportive of leveraged credit demand in 2010 as investors reached for yield. Going forward, expectations for an orderly rise in rates should support the asset class as the economy moderately accelerates in 2011. A modest rise in interest rate expectations would bode well for demand for high-yield bonds. Our rates team envisages a gradual pickup in Treasury yields beyond the first quarter of next year alongside improving growth prospects. They forecast 2-year, 5-year, 10-year, and 30-year yields to end 2010 at 0.45%, 1.50%, 2.80%, and 4.10%, respectively, and then rise to 1.00%, 2.45%, 3.60%, and 4.80% by year-end 2011. As the following chart shows, high-yield mutual fund flows are actually quite strong during periods of rising inflation expectations. We note that an orderly rise in rates is crucial, as a disorderly rise, similar to what we experienced in mid-November, would deter demand from high-yield bond funds because of its implications for market volatility.
Interest rate outlook
Change current/ 4Q11 0 bp 0 bp + 7 bp + 33 bp + 33 bp + 7 bp + 21 bp - 26 bp - 26 bp
Current Rates Fed funds target 3-mo LIBOR 3-month T-bill (bey ) 2-yr Treasury 5-yr Treasury 10-yr Treasury 30-yr Treasury 2s / 10s 5s / 10s 0-0.25% 0.28% 0.14% 0.67% 2.12% 3.53% 4.59% 2.86% 1.41%
4Q10E 0-0.25% 0.28% 0.14% 0.45% 1.50% 2.80% 4.10% 2.35% 1.30%
1Q11E 0-0.25% 0.28% 0.15% 0.60% 1.75% 2.95% 4.25% 2.35% 1.20%
2Q11E 0-0.25% 0.28% 0.18% 0.80% 2.20% 3.35% 4.55% 2.55% 1.15%
3Q11E 0-0.25% 0.28% 0.19% 0.90% 2.30% 3.50% 4.65% 2.60% 1.20%
4Q11E 0-0.25% 0.28% 0.21% 1.00% 2.45% 3.60% 4.80% 2.60% 1.15%
Note: Current levels are as of December 7, 2010. Source: J.P Morgan
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35 30 25 20 15 $ bn 10 5 0 (5) (10) (15)
100bp 50bp 0bp -50bp -100bp
Note: 2010 levels are as of November 30. Sources: J.P Morgan; Lipper FMI
High yields attractive risk/reward characteristics versus equities

With lower volatility and a higher position in the capital structure, investors have recognized equity-like returns can still be achieved by including corporate credit in their portfolios as a replacement for equities. Indeed, high-yield credit over the past 15 years has exhibited about half the volatility1 of the S&P 500, 9.2% versus 16.3%, while at the same time providing slightly higher annualized returns (7.6% versus 6.5%). This translates into a return per unit of risk (annualized return divided by annualized volatility) for high yield of 0.83, more than double that of the S&P 500, 0.40. Extending ones investment horizon to 25 years yields largely the same results. High-yield (1.10) has exhibited a return per unit of risk roughly two times greater than that of the S&P 500 (0.62). An important takeaway is that high-yields correlation to equity returns would remain high, and prices in both markets would move higher or lower together. But with low default risk regardless of economic data, an 8.6% coupon would cushion an investors return much as it has during past economic setbacks.2 Despite outperforming equities again this year, high yield remains an attractive way to play the upside of a continued economic recovery while also protecting against the downside of earnings- and volatility-surprises.
1. Based on the standard deviation of monthly returns. 2. In the last 20 years, the S&P 500 has traded in negative territory for the calendar year five times. In all but 1990, high yield has outperformed equities. 104
Jan-85 Jan-86 Jan-87 Jan-88 Jan-89 Jan-90 Jan-91 Jan-92 Jan-93 Jan-94 Jan-95 Jan-96 Jan-97 Jan-98 Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10
Risk/reward characteristics of various asset classes

Fifteen years ended November 30, 2010
JPMorgan EMBI - Global Composite
12.00% 10.00%
Annualized Return
Gold
8.00% 6.00% 4.00%

LB Agg. Bond Index
JPMorgan Global HY Index Investment-grade bonds 10-year Treasury Leveraged Loans
DAX Rusell 2000 S&P 500 Wilshire 5000 CAC 40
5-year Treasury
S&P 500 Barra Growth Index FTSE 100
2.00% 0.00%
4.00%
8.00%
12.00% Annualized Volatility
16.00%
20.00%
24.00%
Sources: J.P. Morgan; Bloomberg.
Annualized returns and volatility of various assets

Ended November 30, 2010 Avg. annual returns Avg. annual volatility Modified Sharpe Ratio4 5 Year 15 Year 25 Year 5 Year 15 Year 25 Year 5 Year 15 Year 25 Year 8.72% 7.62% 9.30% 12.98% 9.19% 8.44% 0.67 0.83 1.10 7.03% 5.94% 6.85% 5.89% 6.93% 6.77% 8.74% 11.91% 5.07% 5.39% 0.98% 1.11% 2.90% 6.45% 6.23% 7.19% 7.09% 7.67% 8.33% na na 9.85% 9.47% 8.90% 4.70% 4.62% 4.88% 8.21% 7.59% 7.58% 6.94I% 5.58% 5.42% 10.33% 13.14% na 11.02% 6.50% na 17.59% 16.30% 15.82% 18.07% 16.67% 16.04% 22.83% 21.04% 19.98% 1.50 0.83 1.00 0.85 0.46 0.06 0.06 0.13 1.28 0.78 1.21 0.91 0.83 0.40 0.37 0.34 1.45 1.01 1.54 na na 0.62 0.59 0.45
JPMorgan Global HY Index Fixed income: 5-year Treasury 10-year Treasury Investment-grade bonds1 Emerging market bonds2 Leveraged loans3 Equity: S&P 500 Wilshire 5000 Russell 2000
1. Investment-grade bond returns from 1991 through 1999 are measured by the ML Corporate Master Index, from 2000 through 2010, they are measured by the JPMorgan JULI Investment-Grade Index. 2. Emerging market bond returns are measured by the JPMorgan Emerging Market Bond Index- Global Composite. 3. Leveraged loan returns are measured by the S&P/LSTA Leveraged Loan Index. 4. Annualized returns divided by the annualized standard deviation of return. Source: J.P. Morgan.
Low correlation to interest-rates another benefit of high yield

A factor that has made high-yield securities attractive to many portfolios from a diversification perspective is its historically low correlation to most asset classes, specifically interest-rate-sensitive alternatives. For example, the correlations between high yield and 5-year Treasury bonds, and high yield and 10-year Treasury bonds over the last 25 years are actually negative, -0.05 and -0.01, respectively. By comparison, the correlations between investment-grade bonds and 5-year Treasury bonds, and investment grade and 10-year Treasury bonds over the same time period are 0.72 and 0.78, respectively. Given their much lower correlation to US government bonds, high yield has historically outperformed investment grade when interest rates move higher. Specifically, in 14 of the last 30 years, 5-year Treasury yields have increased, and in each of those 14 years, high yield has outperformed its higher rated counterpart. This dynamic, coupled with our economists expectation for rates to rise and our low default rate forecast, supports our expectation for high yield to once again outperform investment-grade securities in 2011.
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Correlations among various asset classes

Twenty-five years ended November 30, 2010 5-year 10-year LB Treasury Treasury Aggregate 10-year Treasury 0.95 LB Aggregate Bond Index 0.91 0.93 Investment-grade bonds 0.72 0.78 0.91 High-yield bonds -0.05 -0.01 0.24 S&P 500 -0.03 0.01 0.17 Wilshire 5000 -0.06 -0.01 0.15 Russell 2000 -0.16 -0.10 0.04 Gold 0.06 0.06 0.05 US Inflation -0.14 -0.19 -0.14
Sources: J.P Morgan; S&P/LCD; Bloomberg.
Invst. grade bonds
Highyield bonds
S&P Wilshire Russell 500 500 2000 Gold
0.45 0.28 0.27 0.18 0.08 -0.15
0.57 0.59 0.61 0.03 0.01
0.99 0.82 -0.12 -0.03
0.88 -0.09 -0.03
-0.03 -0.04
0.04
Analysis of optimal portfolio allocations

Investment-grade and high-yield portfolios: 25-year The graph below illustrates the diversification effect of adding high-yield bonds to an investment-grade portfolio. Beginning with an allocation of 100% investmentgrade bonds, the portfolio achieves a return of 8.33% with an annualized volatility of 5.42%, resulting in a return per unit of risk of 1.54%. Moving from left to right on the graph and increasing high yield's allocation by 5% increments, the volatility of the portfolio declines until a mix of 15% high-yield bonds and 85% investmentgrade securities is reached. At this point, the portfolio achieves its lowest volatility of 5.30%. Increasing the portfolios high-yield exposure further begins to increase its volatility while continuing to increase its return. When the portfolio reaches a 20% high yield/80% investment-grade mix, it achieves its maximum return per unit of risk of 1.61%. Increasing high yields allocation to the portfolio beyond this point continues to increase the portfolios return, but also increases the portfolios volatility at a faster rate, thus reducing its return per unit of risk. A portfolio consisting of 100% high-yield bonds achieves a return of 9.30% with a volatility of 8.44%, for a resulting return per unit of risk of 1.10%.
Risk/return trade-off
Investment-grade vs high-yield bonds: 25 years ended November 30, 2010
9.40% 9.20% Annualized return 9.00% 8.80% 8.60% 8.40% 100% Investment grade 8.20% 5.00% 5.50% 6.00% 6.50% 7.00% Annualized volatility 7.50% 8.00% 8.50% Optimum risk/ return 50%/50% 25% High yield/75% Investment grade 75% High yield/ 25% Investment grade 100% High yield
Source: J.P. Morgan. 106
Investment-grade and high-yield portfolio: Five-year Our next case examines the five-year risk/return profile of high-yield bonds and investment-grade bonds, and this time we find that a portfolio of a 15% allocation to high yield achieves the highest returns per unit of risk. With a 85% allocation of investment-grade bonds and 15% to high-yield bonds, the portfolio returns 7.23% with a volatility of 7.18% and a return per unit of risk of 1.01%. An allocation of 100% high-yield bonds returned 8.72% with a volatility of 12.98% and a return per unit of risk of 0.67%.
Risk/return trade-off
Investment-grade vs high-yield bonds: 5 years ended November 30, 2010
8.80% 8.40% Annualized return 8.00% 7.60% 7.20% 6.80% 6.00% 25% High yield/ 75% Investment grade 100% Investment grade 7.00% 8.00% 9.00% 10.00% 11.00% 12.00% 13.00% Optimum risk/ return 75% High yield/ 25% Investment grade 50%/50% 100% High yield
Annualized volatility
Historically, the optimal allocation for high yield in a mixed portfolio with investment-grade bonds has followed the credit cycle, increasing when default risk is low and decreasing when default risk is high. Based solely on this historical relationship, and the expectation for the high-yield default rate to remain low through 2012, we expect the benefit of adding high yield to an investment-grade portfolio to increase in the coming years.
Optimal allocation of high yield vs investment grade and the high-yield default rate
125.0% Percent of high yield for optimum risk/reward 100.0% 75.0% 50.0% 25.0%
10%
Percent of high yield for optimum risk/return

100%100% 100%100%
Domestic high-yield default rate

100%
12.0% 10.0% 8.0% 6.0% Annual high-yield default rate
75% 65% 65% 55% 40% 30% 15% 15% 15% 0% 0% 15% 20% 60% 45% 50%
30% 15% 15% 0%
4.0% 2.0% 0.0%
0.0%
0%
Note: 2010 data through November 30. Source: J.P. Morgan.
1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
107
108
Fund flow review
109
110
Fund flow review

2010 key observations
Following $31.9 billion and $3.4 billion fund inflows last year, high-yield bond and bank loan funds welcomed $10.8 billion and $9.5 billion, respectively in 20101. The flow of funds into leveraged credit was less than uniform throughout the year. In the first half, retail flows into HY bond funds were volatile, with a handful of large outflows fully erasing first half inflows. Meanwhile, leveraged loan fund flows remained comparatively steady. In the second half, retail flows into both high-yield bond and bank loan funds surged. It was not until November that the direction of flows shifted again and high-yield fund outflows picked up, while inflows into bank loan funds reached their highest level for the year. In all, high-yield funds had inflows in 33 of 48 weeks, while bank loan funds had inflows in 45 of 48 weeks. Fund flows are primarily a function of expected risks, returns and opportunity cost. A precipitous decline in default risk, low interest rate risk, attractive valuations, lack of high yielding alternatives, and strong returns all supported inflows into leveraged credit. Expected risks to provide a positive effect on inflows next year: Default risk declined substantially this year as default rates for bonds and loans fell for 11 consecutive months to 0.74% and 2.18% (ltm), respectively. We forecast 2011 default rates for high-yield bonds and loans of 1.5% and 2.0%, respectively. Furthermore, we expect 2012 default rates to stay below long-term averages at 2% and 3%, respectively. The macroeconomic backdrop and outlook played a key role in 2010. Similarly to this year, inflows into leveraged credit are expected to be linked to the economic backdrop in 2011. Our economists look for US GDP growth to expand 3.1% (y/y) in 2011, which should be a positive for fund flows next year. The US economy tracking at a pace not too hot or too cold would serve as a Goldilocks scenario for high-yield credit. Interest-rate risk had a positive effect on high-yield demand this year as investors reached for yield. Going forward, expectations for an orderly rise in rates should support demand as the economy moderately accelerates. A modest rise in interest rate expectations would bode well for demand for highyield bonds, and would especially favor less rate-sensitive leveraged loans.
1. As reported by Lipper FMI through December 1, 2010. Bond data includes funds reporting weekly, monthly, and ETF funds. Loan data includes weekly reporting funds.
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Fund flow overview

Following $31.9 billion and $3.4 billion fund inflows last year, high-yield bond and bank loan funds welcomed $10.8 billion and $9.5 billion, respectively in 20102. Despite a handful of large outflows in the first half of the year, high-yield retail demand remained strong this year, albeit markedly lower than last year. Meanwhile, bank loan fund demand accelerated as the year progressed, setting a new calendar year high. In all, bank loan fund demand tripled last years total. Behind the leveraged credit demand have been a precipitous decline in default rates, improving fundamentals, and attractive valuations. Furthermore, high-yield bonds and leveraged loans continued to lure investors away from other fixed income products, cash, and equities, given investors search for yield.
Annual high-yield mutual fund flows
36
32.9 31.9
Fund flows ($ bn)
24
15.9 11.0 5.2 1.7 2.3 -0.6 -3.2 5.2 6.5 3.4 1.8 10.9 11.1
21.6
19.7 16.3 13.2 3.9 5.5 5.0 6.5 10.8
12
0
-2.1 -6.3 -8.8
-12 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004
2005
2006
2007
2008
2009
Note. 2010 figure is through December 1, 2010. Sources: J.P. Morgan; Investment Company Institute; Lipper FMI.
High-yield demand remains intact, leveraged loan demand sets new record Leveraged credit started the year on solid footing helped by strong corporate earnings and improvement in most economic conditions. Despite numerous uncertainties, inflows into high-yield bonds and bank loans started the year off strong, taking in $1.9 billion and $905 million, respectively. However, mounting challenges impacted investor appetites in February, leading to a series of outflows from highyield bond funds. Separately, bank loan funds continued to report inflows in February. After the first two months of the year, bank loan fund flows outpaced those of high-yield, $1.7 billion versus -$602 million, the first time this occurred since the credit crunch began.
2. As reported by Lipper FMI through December 1, 2010. Bond data includes funds reporting weekly, monthly, and ETF funds. Loan data includes weekly reporting funds.
112
2010
Retail flows into and out of high-yield bond and loan funds throughout 2010
6.0
HY inflow reversal on improved eco. outlook and market sentiment.
HY Bond Flows 3.9 4.4 2.3 1.5 0.1 1.5 0.9 0.3
HY: $6.3bn outflow in Mayearliy Jun on resumed eco., euro zone, and fin. reform concerns.
LL Fund Flows
4.0 2.0 0.0 ($bn) (2.0) (2.5) (4.0) (6.0) (8.0) 1.9 0.9 0.8
3.0 2.0 1.0 0.3 1.3 0.4 1.1 1.6
Reach for yield in low all in yields environment and stabilization in eco. indicators underpin strong demand for HY & LL between Jul and mid Nov
(0.6)
HY demand under pressure (sharp backup in Tsy ylds/renewed Euro zone concerns). Appetite for LL surges (floating rate feature/seniority)
Appetite for HY wanes (Greece/job concerns) LL inflows remain steady exceeding cum. HY inflows by $2.3bn
(5.7)
Jan
Feb
Mar
Apr
May
June
Jul
Aug
Sep
Oct
Nov
Dec
Source: Lipper FMI.
After Februarys interruption, improvement in economic and Fed expectations and a lack of high-yielding alternatives led to a return of high-yield demand. In fact, Marchs inflows into high-yield bond funds reversed Februarys outflows, while bank loan funds had their first monthly inflow to top $1 billion. The trend of strong inflows continued into April. For loan funds, two weeks in April set new records with $290 million and $417 million weekly inflows, and after four months, monthly bank loan fund inflows already exceeded full year 2009 inflows ($4.2 billion versus $3.4 billion).
Cumulative inflows into high-yield funds
35,000 Annual cumulative inflows ($mn) 30,000 25,000 20,000 15,000 10,000 5,000 0 (5,000) Mar Apr Aug Sep Feb Jan Jun Oct Jul Nov May Dec 2009 2010
Source: Lipper FMI
For high-yield, July was the turning point. Having had an outflow of $423 million after the first six months of the year, Julys $3.9 billion inflow was the best month in over a year. Inflows into high-yield bond funds were largely due to investors reaching for higher yields. For loans, the second half of the year saw acceleration in
113
demand. September was the third best month of the year, welcoming $1.3 billion. On the heels of a strong September, Octobers inflows came in at $1.1 billion, making it the fourth best month in 2010 for bank loan funds. While bond demand was weak due to heightened sovereign debt concerns and a backup in Treasury yields in November, appetite for bank loans grew stronger, leading to the best monthly inflow (+$1.6 billion).
Cumulative inflows into bank loan funds
10,000 Annual cumulative inflows ($mn) 9,000 8,000 7,000 6,000 5,000 4,000 3,000 2,000 1,000 0 Mar Apr Aug Sep Feb Jan Jun Oct Jul Nov May Dec 2009 2010
Source: Lipper FMI.
Understanding 2010 flows and gauging 2011 expectations Fund flows are primarily the product of expected risks (including default, economic, and interest rate risks) and expected returns (both outright and versus other investment options). In the next section, we delve into these factors, analyzing their impact on this years fund flows and implications for next years demand. In short, with US GDP expected to growth 3.1% y/y in 2011, low default rates, attractive valuations, and a supportive rates backdrop, we expect the demand for high-yield bonds and loans to be healthy in 2011.
Expected risk
Default risk is limited in 2011 and 2012, providing a positive backdrop for high-yield bond and loan demand. High-yield bond and loan default rates have now fallen for 11 consecutive months to 0.74% and 2.18% (ltm), respectively and are a fraction of the 4.3% and 4.0% long-term averages. We forecast 2011 default rates for high-yield bonds and loans of 1.5% and 2.0%, respectively. Furthermore, we expect 2012 default rates to stay below long-term averages at 2% and 3%.
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High-yield mutual fund flows vs the high-yield default rate

40 35 30 25 20 $ bn 15 10 5 0 (5) (10) Jan-88 Jan-89 Jan-90 Jan-91 Jan-92 Jan-93 Jan-94 Jan-95 Jan-96 Jan-97 Jan-98 Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10 . Annual inflows into high-yield mutual funds High-yield default rate 18% 16% 14% 12% Default rate 10% 8% 6% 4% 2% 0%
Sources: J.P. Morgan; Moodys Investors Service; Investment Company Institute; Lipper FMI.

14.0% High-yield bond default rate 12.0% Par-weighted default rates 10.0% 8.0% 6.0% 4.0%
1.7%1.5% 2.0% 6.6% 5.0% 4.1% 4.2% 3.3% 12.8%
Loan default rate

9.1% 8.0% 6.3% 6.0%
10.3%
7
2.2% 0.7% 3.0% 2.0% 2.0% 1.5%
3.9%
2.3% 2.3% 1.1% 1.0%0.9% 0.5% 0.4%0.2%
0.0% 2011E 2012E

115
1998
1999
2000
2001
2002
2003
2004
2006
2007
2008
2009
Note: 2010 default rates represent the ltm numbers as of November. Source: J.P. Morgan.
Significant improvement in the default rate was an important factor for demand in 2010. As we head into 2011, high-yield bonds and leveraged loans remain attractive relative to our 2011 default outlook. Based on current spreads of T+606bp for bonds and L+588bp for loans, implied default rates are 5.4% and 8.7%, respectively, significantly higher than our forecast for 2011 default rates of 1.5% and 2.0%. Conversely, our default forecasts imply spreads for high-yield bonds and loans should be T+390bp and L+355bp, respectively. While spreads will probably not tighten to these levels over the next 12 months given where we expect Treasury and Libor rates to end next year, this highlights the attractiveness of both markets relative to default risk. The macroeconomic backdrop will again be an important variable in 2011. The variability in fund flows this year can be closely linked to changes in economic growth expectations. Inflows into leveraged credit will likewise be linked to the economic backdrop in 2011. Our economists look for a gradual acceleration in US growth with GDP expanding 3.1% (y/y) in 2011 (versus 2.5% consensus forecast), after growing 2.8% in 2010. This should be a positive for fund flows next year the
2010
US economy tracking at a pace not too hot or too cold would serve as a Goldilocks scenario for high-yield credit. We do not expect demand for high-yield to retrench unless GDP growth proves too cold (negative GDP and the implicit negative impact on capital markets) or too hot (several consecutive quarters of +4% GDP growth that spark inflation or rate fears). Interest rate risk was a positive for leveraged credit demand this year, a trend we expect to continue in 2011. After cutting the target Fed funds rate to a 0.00%-0.25% range in mid-December of 2008, the Fed has kept the target rate unchanged through 2010. Low interest rates were supportive of leveraged credit demand in 2010 as investors reached for yield. Going forward, expectations for an orderly rise in rates should support demand as the economy moderately accelerates in 2011. A modest rise in interest rate expectations would bode well for demand for high-yield bonds, and would especially favor less rate-sensitive products such as leveraged loans. As the below chart shows, high-yield mutual fund flows are actually quite strong during periods of rising inflation expectations. As a recent example, the surge of inflows into the high-yield asset class since mid-September coincided with a 30bp increase in the spread between 10- and 2-year Treasury yields in the wake of Bernankes speech in Jackson Hole.
35 30 25 20 15 $ bn 10 5 0 (5) (10) (15) Jan-85 Jan-86
100bp 50bp 0bp -50bp -100bp
Jan-87
Jan-88
Jan-89
Jan-90
Jan-91
Jan-92
Jan-93
Jan-94
Jan-95
Jan-96
Jan-97
Jan-98
Jan-99
Jan-00
Jan-01
Jan-02
Jan-03
Jan-04
Jan-05
Jan-06
Jan-07
Jan-08
Sources: J.P Morgan; Lipper FMI.
Expected return is another component that will benefit demand next year. High-yield bonds and leveraged loans have returned 13.9% and 9.1% YTD3, after record 58.9% and 51.6% returns last year. We forecast high-yield bonds to return 9.8% and bank loans to return 7.1% in 2011. With high-yield spreads trailing the relative drop in yields of more rate-sensitive products, the return opportunities are still attractive, while the opportunity costs within fixed income are low.
3. YTD as of December 7, 2010.
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Jan-09
Two-year rolling fund flows vs high-yield returns

60 50 40 Fund flows ($ bn) 30 20 10 0 -10 -20 Dec-85 Dec-86 Dec-87 Dec-88 Dec-89 Dec-90 Dec-91 Dec-92 Dec-93 Dec-94 Dec-95 Dec-96 Dec-97 Dec-98 Dec-99 Dec-00 Dec-01 Dec-02 Dec-03 Dec-04 Dec-05 Dec-06 Dec-07 Dec-08 Dec-09 20% 0% -20% -40%
Two-year rolling HY fund flows Two-year rolling HY total return
100% 80% 60% 40% Total returns
Sources: JPMorgan; Investment Company Institute; Lipper FMI.
With lower volatility and a higher position in the capital structure, nontraditional investors have recognized equity-like returns can still be achieved by including corporate credit in their portfolios as a replacement for equities. Over the past 15 years, high-yield credit has exhibited return per unit of risk that is more than double of that of the S&P 500 (0.84 vs 0.41). While high-yields correlation to equity returns is expected to remain high, given low default risk, an 8.6% coupon would cushion an investors return much as it has during past economic setbacks.4 Despite outperforming equities by about 2% this year, high yield remains an attractive way to play the upside of a continued economic recovery while also protecting against the downside of earnings and volatility surprises. As for leveraged loans, their return per unit of risk is similar to high yield, albeit exhibiting both lower annualized returns and lower volatility. Furthermore, based on the current valuations and our outlook for next year, leveraged loans should benefit from the dearth of alternatives available to protect a portfolio against rising rates and comfortably outperform investment grade bonds.
4. In the last 20 years, the S&P 500 has traded in negative territory for the calendar year five times. In all but 1990, high yield has outperformed equities.
117
118
Leveraged loan market review
119
120
Leveraged loan market review

2010 Highlights Leveraged loans provided less return volatility compared to most asset classes in 2010, with prices falling less when market volatility rose in February, May, and November. After returning 51.6% in 2009, loans returned 9.6% in 2010, while spreads tightened from L+703bp to L+586bp, and prices recovered $5.2 to $95. New-issue conditions steadily improved throughout 2010. For perspective, a mere $38.2 billion of institutional loan volume priced in 2009, which was easily eclipsed in only the first four months of 2010. Averaging more than $12 billion of volume per month, activity climbed to $143.7 billion, or a nearly four fold increase year-over-year. Including revolvers and other non-institutional volume, total leveraged loan volume this year totaled $201 billion, the most since 2007s $535 billion. Despite the increase in new loan volume, 2010 still turned out to be a very strong year for technicals, as repayments of $135.5 billion, fueled by $67.2 billion of bond-for-loan takeouts, for the 2nd consecutive year led amount outstanding to contract. With capital markets less restrictive, dividend deals ($14.4 billion), covenant-lite ($6.6 billion), and LBO-related volume ($25 billion) increased as the year progressed. Meanwhile, amend to extend activity declined by more than 50% in 2H10 ($21 billion) versus 1H10 ($44 billion), and covenant relief volume dropped from effecting $236 billion of leveraged loan volume in 2009 to $97 billion in 2010. Following $3.4 billion of inflows last year, bank loan funds reported retail inflows of $10.8 billion in 2010. Noteworthy, 13 weekly inflows registered in excess of $300 million, a figure not seen prior to 2010. The largest weekly inflow occurred in December, +$890 million, 85% higher than the previous record. Since early November when Treasury yields began to rise, retail flows into bank loan funds accelerated, which led to 6 of the largest 8 inflows on record. Default activity declined significantly in 2010, following last years record-high volume. Through November 30, 41 companies defaulted, affecting a combined $19 billion in bonds and loans ($7.4 billion in bonds and $11.6 billion in institutional bank loans). The par-weighted loan default rate decreased to 2.2% from 12.8% and the issuer-weighted default rate declined to 2.9% from 7.3%. For firstlien loans, average recoveries were 72.2%, compared with Moodys long-term average of 65.6%, while second-lien loan recoveries were 13.3%. The amount of debt set to mature through 2014 has been reduced by $393 billion since the beginning of 2009. While maturities are low over the next several years, 2013 and 2014s $376 billion of institutional loans coming due equals 55% of all outstanding institutional loans.
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Performance: slow and steady

Modest economic growth (tracking 2.9% 2010 US GDP growth), strong retail inflows, improving corporate conditions, accommodative primary market conditions, and low default activity led to another solid return for leveraged loans in 2010. After returning 51.6% in 2009, loans returned 9.6% in 2010, with the only negative quarterly return occurring in the second quarter (-1.3%, versus +4.6% in 1Q10, +3.3% in 3Q10, and +2.7% 4QTD). Even with significant macro uncertainty in 2010 accompanied by bouts of market volatility, most asset classes benefited from a slowly improving economy but one also accompanied by low rates and accommodative fiscal and monetary policy. By comparison, high-yield and high-grade bonds returned +13.9% and +8.1% in 2010, respectively, while the 10year Treasury, emerging market bonds, and the S&P 500 returned +7.9%, +11.2%, and +13.7%, respectively. Even so, while most rate and economically sensitive asset classes tended to trade in lockstep with macro news, strong technicals mitigated the magnitude of price swings for loans.
Leveraged loans have provided steady returns
Assets High-Yield Bonds Leveraged Loans Investment Grade Bonds Emerging Market Bonds 10-Year Treasury Dow Jones Industrials S&P 500 Russell 2000 By Rating BB-rated bonds B-rated bonds CCC-rated bonds BB-rated loans B-rated loans CCC-rated loans 2008 -26.83% -29.10% -1.86% -10.91% 15.31% -31.93% -37.00% -33.79% -15.63% -29.11% -47.02% -24.21% -34.89% -45.81% 2009 58.90% 51.62% 16.72% 28.18% -8.76% 22.68% 26.46% 27.18% 40.98% 45.37% 110.58% 35.79% 61.23% 88.60% 1Q10 4.72% 4.64% 2.28% 4.16% 0.99% 4.82% 5.39% 8.85% 4.07% 3.56% 6.91% 3.53% 4.70% 11.36% 2Q10 0.08% -1.28% 3.75% 1.16% 8.48% -9.36% -11.43% -9.92% 0.79% 0.00% -0.96% -1.21% -2.28% 0.23% 3Q10 6.34% 3.31% 4.55% 8.33% 4.65% 11.12% 11.29% 11.29% 6.95% 6.52% 6.50% 2.91% 4.34% 2.92% 4QTD 2.24% 2.72% -2.58% -2.61% -5.89% 7.22% 9.48% 15.56% 0.95% 2.56% 5.01% 2.18% 3.44% 6.07% YTD 13.94% 9.63% 8.08% 11.16% 7.90% 13.19% 13.74% 26.10% 13.26% 13.14% 18.42% 7.54% 10.42% 21.84%
Note: Returns are as of December 17th. Sources: J.P. Morgan; S&P/LCD.
During the year, prices on the S&P LSTA Leveraged Loan index rose from 89.8 on December 2009, to 95.0 on December 17th 2010. Meanwhile, loan spreads tightened from L+703bp to L+576bp, and the swap adjusted yield differential between bonds and loans (99bp) remained well below its long-term average (177bp). By rating class, CCCs led the way returning 21.8% YTD, followed by B and BB-rated loans with returns of 10.4% and 7.5%, respectively.
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Loan spreads
2500bp 2250bp 2000bp 1750bp 1500bp 1250bp 1000bp 750bp 500bp 250bp 0bp Jan-97
Swap adjusted comparison of high-yield bond and loan yields

600bp Difference in yields
31-Dec-08 L+2373 bp 17-Dec-10 L+576bp 30-Mar-08 L+766bp 30-Sep-02 559bp 17-Dec-10 99bp
3 year discounted spread
13-year average= L+513bp 13-year median= L+428bp 31-Oct-02 L+645bp
400bp 200bp 0bp -200bp -400bp -600bp

13-year average = 177bp 13-year median = 154bp
Jan-98
Jan-99
Jan-00
Jan-01
Jan-02
Jan-03
Jan-04
Jan-05
Jan-06
Jan-07
Jan-08
Jan-09
Jan-10
Jan-97
Jan-98
Jan-99
Jan-00
Jan-01
Jan-02
Jan-03
Jan-04
Jan-05
Jan-06
Jan-07
Jan-08
Jan-09
After a very strong January (+2.0%), a host of headline risks emerged which led to more moderate returns for loan investors in February (+0.3%). Namely, fiscal challenges faced abroad by Greece and challenges faced domestically generating job growth, coupled with moves by China to reign in lending, led to softer prices for riskier assets beginning in late January and feeding into February. Nevertheless, sentiment and prices quickly recovered, led by subsiding global economic fears and strong corporate earnings, leading to very strong returns for loan investors in March (+2.3%) and April (+1.5%). These conditions also led to a significant improvement in new-issue conditions. Alongside March and Aprils record bond issuance ($40.5 billion and $34.2 billion), institutional loan new issuance climbed to $18.8 billion, its highest since 2007. However, momentum was soon interrupted by many of the same concerns that led to higher volatility earlier in the year. Without any resolution or strong visibility market volatility surged, and leveraged loans suffered in tow. The VIX reached a 14-month high in May, the 2-year Treasury yield approached an all-time low, and the S&P 500 dipped 8.0%, the worst monthly decline for stocks since February 2009. These conditions led to the worst total return for leveraged loans since prices began to recover back in December 2008, down -2.2% in May.
High-yield bond and loan returns
4.0%
3.0% 3.3% 2.8% 1.5% 0.2% 0.3% -0.5% 1.2% 1.5% 0.1% 0.4% 1.4% 2.4% 1.5% 0.4% 0.9% 0.8%
Jan-10
3.0% Monthly returns (%) 2.0% 1.0% 0.0% -1.0% -2.0% -3.0% -4.0% Jan-10 Feb-10
2.0% 1.4%
2.3% 2.3%
High-yield Leveraged loans
-1.0% -2.2% -3.4%
Mar-10
Apr-10
May-10
Jun-10
Jul-10
Aug-10
Sep-10
Oct-10
Nov-10
Dec-10
123
This set the stage for the markets positive multi-month run between July and November. An improved tone to economic data, lower volatility, accommodative interest rates, persistently strong earnings releases, and abundant corporate liquidity allowed prices for leveraged loans to recover, providing positive total returns in each month in the back half of the year. In particular, when Treasury yields rose aggressively in November and December, prices for leveraged loans held steady. This highlighted the asset classes appeal in a rising rate environment, and coincided with record inflows into the asset class, even as money shifted into and out of the high-yield bond asset class. In summary, leveraged loans provided far less return volatility than HY bonds and most other asset classes throughout 2010, with prices falling less when market volatility rose in February, May, and November.
Price volatility has been relatively low in 2010
105 95 85 Loan prices 75 65 55 45 35 Aug-07 Aug-08 Aug-09 Aug-10 Dec-07 Dec-08 Dec-09 Jun-07 Performing loans BB-rated loans B-rated loans CCC-rated loans Dec-10
201
387 321 74 105 28 47 60 46 34 81 59 91 153 183 58 144
Feb-08
Feb-09
Feb-10
Jun-08
Jun-09
Jun-10
Oct-07
Oct-08
Oct-09
Apr-08
Apr-09
New issuance: volumes climb to 3-year high

New-issue conditions for loans steadily improved throughout 2010. After a mere $38.2 billion of institutional loans priced in 2009, issuance averaged more than $12 billion per month, and total activity climbed to $143.7 billion. Including revolvers and other non-institutional volume ($57.5 billion YTD), leveraged loan volume totaled $201 billion, the most since 2007s $535.2 billion.
Leveraged loan new-issue volumes climbed to a three-year high
600 500
Volume ($bn)
Pro Rata Institutional
480
149 159
535
400 300
220 256 243 185
209 184 139
265 139 139 166

112
295
112
200 100 0
192
Apr-10
157
86 71
77
38 39
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
Oct-10
124
2010TD
Largest loan deals in 2010

Close Date 4/2010 10/2010 4/2010 10/2010 9/2010 10/2010 7/2010 10/2010 12/2010 9/2010 10/2010 9/2010 7/2010 5/2010 12/2010 Issuer American General Finance Burger King (3G Capital) Reynolds & Reynolds Davita Tomkins Grifols Universal Health Services Fifth Third Processing TransDigm Reynolds Group Goodman Global NBTY Fidelity National Information Phillips Van-Heusen Novelis Facility TL TLB TL TLB TLB TLB TLB 1st Lien TL TLB TLB 1st Lien TL TLB TLB TLB TLB Corp. Ratings B2/B B2/B Ba3/B+ Ba3/BBBa3/BBB1/BBBa2/BB Ba3/B+ B1/B+ B2/B+ B1/B+ B1/B+ Ba1/BB Ba3/BB+ B1/B+ Size ($mm) 3,000 1,850 1,820 1,750 1,700 1,600 1,600 1,575 1,550 1,520 1,500 1,500 1,500 1,500 1,500 Industry Financial Food/Beverages Technology Healthcare Industrials Healthcare Healthcare Services Industrials Consumer Prod. Industrials Retail Financial Consumer Prod. Metals/Mining Use of Proceeds Maturity Refinancing 04/15/15 Acquisition 10/04/16 Refinancing 04/14/17 Refinancing 10/17/16 Acquisition 09/20/16 Acquisition 09/29/16 Acquisition 07/26/16 Acquisition 11/02/16 Acquisition 12/04/16 Acquisition 03/27/17 Dividend 10/25/16 Acquisition 09/20/17 Share buyback 07/10/16 Acquisition 05/02/16 Dividend 12/11/16 Coupon (bps) 550 450 350 300 450 425 400 400 350 475 400 450 375 300 375 LIBOR floor 1.75% 1.75% 1.75% 1.50% 1.75% 1.75% 1.50% 1.50% 1.50% 1.75% 1.75% 1.75% 1.50% 1.75% 1.50% At Issue Price Yield 98.50 8.92% 99.00 6.95% 99.25 7.16% 99.50 5.14% 99.00 7.07% 99.00 6.70% 98.50 7.02% 99.00 6.30% 99.50 5.95% 99.00 7.39% 99.00 6.43% 99.00 7.25% 99.00 6.47% 99.50 6.35% 99.00 6.41%
While this years institutional volume is significantly higher than the past two years volume combined ($110.6 billion), the recovery in primary conditions for leveraged loans has still trailed that for bonds. In particular, loan new-issue volumes were less than bond volumes every month this year. For context, this years high-yield bond volumes were close to 70% higher than their previous record last year, while loan volumes are a fraction of their peak.
High-yield bond issuance exceeded loan issuance for a second straight year
500
147
400 ($ bn) 300
Institutional loan volume
High Yield Issuance

149
302 158 106 388 152 151 325 181 100 126 47 69 74 28 57 60 95 34 68 58 90 154 184 53 144 72 38
200 100 0
10 46 43 47
44
Sources: J.P. Morgan; S&P/LCD
Despite the increase in new loan volume this year, 2010 was still a strong year for technicals, as elevated repayment activity continued apace and a steady stream of inflows poured into retail funds ($10.8 billion). Repayments of $135.5 billion, fueled by $67.2 billion of bond for loan repayment activity, for the 2nd consecutive year led amount outstanding to contract. We estimate institutional loans outstanding have declined to $694 billion, from $767 billion at the start of 2009 (-
YTD10
125
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
9.5%). A look at the table below highlights the strong technical backdrop for loans. Net supply totaled only a slight surplus of $8 billion in 2010, despite $143.7 billion of gross new issuance, after a $52.4 billion deficit in 2009.
Technicals in the loan market remain strong
1997 Gross New Issuance 28.3 1998 56.7 -18.1 1999 59.8 -36.0 2000 43.5 -36.5 2001 34.1 -29.8 2002 57.7 -46.5 2003 90.1 -66.9 2004 154.3 -83.6 2005 184.0 -92.9 2006 324.6 -110.7 2007 388.3 -149.1 2008 72.4 -48.9 2009 38.0 -41.8 -48.6 -52.4 YTD 143.7 -68.3 -67.2 8.2
Paydowns -10.1 Bond for loan takeouts Net Supply 18.2
38.6
23.8
7.1
4.4
11.2
23.3
70.6
91.1
213.9
239.3
23.4
Sources: J.P Morgan; S&P/LCD.
Given CLO participation and investor leverage is unlikely to return to levels precredit crisis anytime soon, the heavy participation of the bond market to refinance substantial loan maturities between 2013 and 2015 has been necessitated. As a result, issuers priced 152 bond transactions totaling $67.2 billion this year for the purpose of replacing institutional loan facilities, on top of the $48.5 billion completed last year (102 deals). This dynamic has 1) expanded the size of the bond market 2) has supported technicals and 3) has reduced the sizeable schedule of loans set to mature between 2013 and 2015.
High-yield bond for loan takeout volume remained high in 2010

12.0
Bond-for-loan refinancing volume ($bn)
9.9 8.5 6.9 5.9 4.6 3.9 2.7 3.0 2.2 1.5 2.7 5.1 4.7 4.7 7.1
10.0 8.0
6.0 6.6
9.0
9.3
6.0 4.0 2.0 0.0 Aug-09 Sep-09 Nov-09 Dec-09
Aug-10
Sep-10
Nov-10
May-10
As for other trends to surface in the new-issue market for loans in 2010, dividend deals, covenant-lite, and LBO-related deals increased markedly as the year progressed, at least compared to a much more restrictive backdrop for capital markets in 2009. LBO financing accounted for 12% of volume in 1Q10, 24% in 2Q10, 44% in 3Q10, and 20% in 4Q10, or otherwise $25 billion YTD (20%). Meanwhile, dividend deal volume rose from $750 million in 2009 to $14.4 billion in 2010. While of course a byproduct of improving risk appetite, this years
126
Dec-10
Feb-10
Jun-09
Jan-10
Jun-10
Oct-09
Mar-10
Apr-10
Oct-10
Jul-09
Jul-10
dividend activity was also driven in part by the uncertainty around the Bush era tax rules. Finally, there was also an increase in covenant-lite volume with $6.6 billion YTD, most of it in 2H10. Of course, this pales in comparison to the $96.6 billion issued in 2007.
Institutional loan activity
1997 1998 1999 $59.8 421 2.0% 40.2% 7.0% 19.8% 0.0% 0.0% 30.3% 0.0% 11.3% 15.8% 64.5% 6.4% 0.1% 0.0% 1.9% 0.0% 2.4% 1.8% 6.6% 6.0% 2.8% 3.6% 2.4% 0.3% 4.1% 12.0% 7.7% 4.3% 1.9% 2.2% 1.8% 2.6% 14.7% 4.5% 16.2% 1.9% 0.1% 2000 $43.5 326 3.6% 38.7% 20.3% 12.3% 0.0% 0.0% 24.3% 0.0% 6.0% 24.8% 55.5% 11.6% 1.0% 0.0% 1.0% 0.0% 1.8% 3.6% 7.7% 6.6% 1.8% 2.1% 0.5% 1.5% 5.0% 4.6% 3.1% 4.4% 9.2% 1.4% 4.8% 3.0% 6.7% 7.5% 18.2% 1.7% 5.1% 2001 $34.1 190 4.6% 45.6% 18.0% 11.0% 0.0% 0.0% 16.5% 0.0% 4.5% 42.0% 45.5% 3.7% 2.5% 0.4% 1.3% 0.0% 0.9% 6.3% 5.1% 8.6% 7.6% 4.1% 3.3% 0.0% 10.1% 5.1% 8.3% 1.0% 8.3% 1.8% 4.9% 7.4% 6.4% 3.6% 3.9% 0.9% 2.6% 2002 $57.7 242 7.2% 51.7% 12.5% 10.5% 0.2% 0.0% 13.4% 0.0% 5.2% 51.8% 32.5% 5.1% 3.9% 1.5% 0.2% 0.0% 1.3% 2.9% 0.6% 5.4% 2.5% 7.1% 2.5% 0.5% 8.3% 6.9% 8.8% 4.9% 8.1% 2.8% 4.8% 4.8% 5.6% 5.1% 5.3% 2.5% 9.3% 2003 2004 2005 2006 2007 2008 $72.4 187 3.0% 32.5% 16.3% 13.6% 0.9% 0.4% 27.0% 0.0% 2009 1Q10 2Q10 3Q10 4QTD $38.3 $23.1 $41.9 $33.8 120 54 99 82 0.0% 26.1% 12.4% 26.3% 3.7% 4.5% 15.9% 11.0% YTD
Volume (billion) $28.3 $56.7 Number of issues 256 433 By rating (as a percent of total volume) Split BBB 0.0% 0.0% BB 14.5% 18.5% Split BB 4.7% 8.4% B 14.4% 11.9% Split B 0.0% 1.8% CCC 0.0% 0.0% NR 66.4% 56.1% Default 0.0% 0.0% By use of proceeds (as a percent of total volume) Recapitalization 8.9% 4.8% Refinancing 21.7% 15.1% Acquisition 62.6% 69.2% General Corporate 6.8% 8.3% Exit 0.0% 0.6% DIP 0.0% 0.0% Other 0.0% 2.0% Unknown 0.0% 0.0% By industry (as a percent of total volume) Automotive 4.8% 3.1% Broadcasting 2.5% 2.3% Cable and Satellite 3.8% 3.4% Chemicals 6.7% 6.5% Consumer Products 4.8% 4.5% Diversified Media 3.0% 3.9% Energy 0.7% 2.6% Financial 0.2% 0.6% Food and Beverages 10.4% 6.3% Gaming Lodging and Leisure 4.4% 6.4% Healthcare 13.6% 7.8% Housing 2.2% 3.6% Industrials 6.9% 7.2% Metals and Mining 4.1% 11.5% Paper and Packaging 5.4% 0.0% Retail 8.4% 5.4% Services 3.4% 8.3% Technology 7.1% 3.1% Telecommunications 5.1% 11.1% Transportation 2.6% 2.1% Utility 0.0% 0.3% Sources: J.P Morgan; S&P/LCD.
$90.1 $154.3 $184.0 $324.6 $388.3 376 648 733 930 915 2.0% 39.2% 19.5% 23.8% 0.0% 2.0% 12.0% 0.0% 12.5% 50.2% 29.4% 2.9% 4.0% 0.3% 0.8% 0.0% 5.0% 2.0% 3.0% 6.7% 3.1% 4.8% 4.4% 1.1% 7.6% 4.6% 8.6% 5.2% 2.4% 3.3% 2.8% 5.3% 7.8% 5.5% 4.9% 2.9% 8.9% 0.7% 27.0% 11.7% 42.6% 1.5% 0.3% 16.0% 0.0% 17.9% 35.3% 41.0% 3.0% 0.4% 0.8% 1.7% 0.0% 0.4% 1.8% 4.1% 7.6% 4.5% 3.6% 4.0% 1.0% 5.1% 7.6% 6.7% 5.7% 4.3% 2.9% 4.4% 3.3% 6.7% 4.5% 7.4% 7.5% 7.0% 1.2% 20.9% 15.3% 37.9% 1.0% 0.9% 22.7% 0.0% 2.7% 27.1% 17.3% 30.8% 1.6% 1.3% 18.9% 0.0% 2.7% 24.8% 24.5% 22.5% 2.8% 3.4% 19.0% 0.0%
$44.8 $143.7 104 339
0.0% 0.0% 0.6% 0.0% 0.1% 15.2% 21.1% 21.3% 16.1% 18.7% 14.3% 11.6% 15.3% 13.3% 13.4% 49.0% 61.2% 55.0% 57.8% 56.7% 0.0% 0.4% 0.0% 0.8% 0.4% 0.3% 0.7% 1.4% 0.0% 0.6% 14.1% 4.3% 6.4% 12.0% 8.8% 7.1% 0.6% 0.0% 0.0% 1.3%
19.9% 13.9% 11.7% 26.8% 18.6% 18.6% 46.8% 56.1% 63.7% 2.8% 6.8% 3.4% 1.4% 1.2% 0.6% 1.9% 0.9% 1.1% 0.4% 2.6% 1.0% 0.0% 0.0% 0.0% 3.0% 5.6% 0.1% 2.2% 1.1% 3.4% 2.6% 5.9% 1.5% 6.2% 5.3% 5.6% 3.1% 3.0% 1.8% 3.5% 5.6% 7.0% 8.1% 4.4% 3.9% 1.0% 1.1% 1.0% 4.2% 6.0% 3.4% 7.9% 5.3% 6.3% 7.5% 8.0% 9.2% 8.5% 3.6% 3.2% 3.1% 4.4% 3.2% 2.1% 2.3% 3.3% 1.0% 3.4% 1.8% 4.6% 3.3% 3.7% 10.8% 10.0% 15.5% 8.7% 9.2% 5.0% 6.5% 4.9% 6.3% 2.0% 2.8% 5.8% 3.5% 5.0% 9.1%
3.0% 2.2% 19.1% 5.9% 1.1% 2.9% 6.0% 10.8% 45.2% 44.3% 49.9% 23.6% 24.1% 34.8% 74.1% 29.2% 21.0% 36.3% 59.4% 41.2% 40.8% 4.7% 4.0% 0.0% 0.8% 2.4% 0.1% 0.8% 4.2% 3.3% 14.0% 5.1% 1.1% 1.1% 4.3% 1.4% 14.0% 1.6% 0.3% 0.4% 0.9% 0.7% 1.8% 2.0% 0.0% 1.6% 11.7% 28.7% 12.2% 0.0% 0.0% 0.0% 0.2% 0.4% 0.9% 0.5% 3.0% 3.7% 0.9% 0.0% 1.7% 3.2% 1.5% 7.2% 1.8% 5.6% 1.9% 0.8% 0.0% 1.7% 2.6% 5.4% 1.1% 3.8% 0.0% 0.8% 1.5% 8.1% 17.9% 7.9% 2.9% 3.1% 3.4% 3.9% 0.7% 4.4% 4.1% 8.4% 5.7% 2.5% 5.2% 4.4% 3.5% 0.0% 5.7% 1.8% 0.0% 2.1% 7.9% 4.7% 1.6% 3.2% 3.8% 0.4% 2.2% 0.4% 2.1% 6.0% 15.1% 5.5% 2.1% 7.3% 5.6% 9.0% 8.5% 5.0% 5.2% 13.0% 8.1% 7.4% 6.7% 9.5% 11.2% 4.0% 2.1% 6.4% 5.5% 10.5% 19.0% 5.1% 17.2% 15.7% 13.5% 1.2% 1.2% 1.9% 0.9% 0.0% 1.6% 1.0% 5.9% 1.1% 6.3% 5.3% 8.7% 11.3% 8.1% 1.1% 1.5% 0.0% 1.4% 1.8% 3.3% 1.9% 4.4% 3.2% 8.1% 1.9% 2.7% 0.0% 2.5% 2.8% 3.3% 3.5% 2.0% 6.5% 5.0% 4.2% 7.3% 7.5% 6.2% 7.4% 17.7% 19.7% 13.5% 12.4% 6.3% 7.4% 10.4% 4.4% 8.9% 8.0% 4.2% 4.4% 1.6% 3.9% 6.2% 7.1% 5.1% 2.5% 1.1% 0.0% 1.3% 1.1% 0.0% 0.6% 5.3% 0.8% 1.0% 3.4% 2.1% 0.0% 1.6%
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Debt multiples on new deals remain fairly conservative

10 9 8 7 6 5 4 3 2 1 0
8.8 7.1
FLD/EBITDA SLD/EBITDA Other Sr Debt/EBITDA Sub Debt/EBITDA
6.7 5.3 5.0 5.1 5.3 5.2 5.8 5.6 5.2 4.5 4.0 3.7 3.8 3.9 4.2 4.3 4.4 4.9 3.8 4.0 3.9
1987
1988
1989
1990
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
3
Source: S&P/LCD
After a frenzy of activity last year, amend to extend activity declined in 2010. In particular, amend to extend activity declined by more than 50% in 2H10 ($21 billion) versus 1H10 ($44 billion). Seperately, covenant relief volume dropped from effecting $236 billion of leveraged loan volume in 2009 to $97 billion in 2010.
Amendments and covenant waivers declined in 2H10
60
Volume ($bn)
50 40 30 20 10
7 19 21 6 9 4 4 22 47
Amend to extend
Covenant relief
18 30 28 25 11 11 3 4 12 1 3 4 4 9 14 11 12 15 11 4 5 2 10 4 13 8 4 5 4 7 2 8
0 Feb-09 Jan-09
Aug-10
Sep-10
Aug-09
Sep-09
Nov-09
Dec-09
May-09
May-10
Source: S&P/LCD.
Demand: retail flows reach new heights

Following $3.4 billion of inflows last year, bank loan funds reported retail inflows of $10.8 billion in 2010. In particular, 13 weekly inflows this year have topped $300 million after never having done so prior to 2010. Of note, inflows into bank loan funds accelerated as the year progressed, particularly during November when rate volatility rose. For example, 6 of the last 8 inflows into bank loan funds were the largest on record, the latest being +$890 million, the largest on record by $410 million (+85%). At least compared to less than uniform flows into high-yield bond funds, flows into leveraged loan funds remained steady all year. In all, high-yield funds had inflows in 34 of 49 weeks (including seven inflows or outflows in excess of $1 billion), while bank loan funds had
128
Nov-10
Feb-10
Jun-09
Jan-10
Jun-10
Oct-09
Apr-09
Mar-09
Mar-10
Apr-10
Oct-10
Jul-09
Jul-10
2010TD
inflows in 46 of 49 weeks. Given an improving economic growth outlook, and prospects for higher rates in 2011, we expect flows into retail bank loan funds to set another record in the year to come. Meanwhile, anecdotally, crossover demand from relative value players like hedge funds, high-yield funds, multi-strategy managers, and even pension funds, endowments, and other institutional investors has increased since yields across all fixed income products declined toward historic lows.
Retail flows into and out of high-yield bond and loan funds throughout 2010
6.0 4.0 2.0 0.0 ($bn) (2.0) (2.5) (4.0) (6.0) (8.0) Jan Feb Mar Apr May June Jul Aug Sep Oct Nov Dec
Appetite for HY wanes (Greece/job concerns) LL inflows remain steady exceeding cum. HY inflows by $2.3bn HY: $6.3bn outflow in Mayearliy Jun on resumed eco., euro zone, and fin. reform concerns. Reach for yield in low all in yields environment and stabilization in eco. indicators underpin strong demand for HY & LL between Jul and mid Nov HY inflow reversal on improved eco. outlook and market sentiment.
3.9
4.4
HY Bond Flows
LL Fund Flows
3.0 1.9 0.9 0.8 1.0 2.0 1.5 0.1 0.9 0.3 0.3 2.3 1.5 0.4 1.3 1.1 1.6
1.2 1.4
(5.7)
(1.2) HY demand under pressure (sharp backup in Tsy ylds/renewed Euro zone concerns). Appetite for LL surges (floating rate feature/seniority)
Source: Lipper FMI.
Cumulative inflows into bank loan funds

35,000 Annual cumulative inflows ($mn) 30,000 25,000 20,000 15,000 10,000 5,000 0 (5,000) Feb Feb Aug Aug Sep Sep Sep Jan Jan Jun Jun Nov Nov Dec May May Dec Mar Mar Jan Apr Apr Apr Oct Oct Jul Jul 2009 2010
Source: Lipper FMI.
129
Investor participation in this years primary market activity

Prime Rate Fund 13%
Buyer base for new loans

90.0% 80.0% 70.0% 60.0% 50.0% 40.0% 30.0% 20.0% 10.0% 0.0% 1994 US Banks Finance Co. Foreign Bank Institutional Investor Securities Firm
Insurance Co. 6% CLO 43%
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
Hedge, Distressed & High-Yield Funds 34% Finance Co. 4%
Source: S&P/LCD.
Source: S&P/LCD.
Defaults: default rates well below long-term average

Default activity declined significantly in 2010, following last years record-high volume. Through November 30, 41 companies defaulted, affecting a combined $19 billion in bonds and loans ($7.4 billion in bonds and $11.6 billion in institutional bank loans). By comparison, 120 companies defaulted on a record-high $185 billion in bonds and loans during full-year 2009 ($95 billion in bonds and $90 billion in bank loans). Of the defaulted companies, 11 were bond-only issuers, 22 were loan only borrowers, and the remaining 8 companies had both bonds and loans outstanding. Specifically for the high-yield bond market, this years $7.4 billion of bonds affected was the third lowest volume in the last 13 years, trailing only 2005s $3.2 billion and 2006s $7.3 billion. Meanwhile, the $11.6 billion of defaulted loans was the third largest total on record, trailing last years $90.1 billion and 2008s $29.7 billion.
Annual number and dollar volume of institutional bank loan defaults
100 90 80 Number of defaults 70 60 50 40 30 20 10 0
0.6
9 4 33 26 23 12 60 93
100.0 90.0 80.0 70.0 60.0 ($bn) 50.0 40.0 30.0

11.6
Amount ($ bn)
Number 90.1
29.7
30
3.2
7.1
8.1
7.9
11 6 5
20.0 10.0 0.0
3.0
1.5
5.9
1.2
1.2
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
Note: 2010 data is through November 30. Sources: J.P. Morgan; S&P/LCD.
After setting record highs in 2009, loan default rates fell significantly in 2010. During the year, the par-weighted default rate for loans decreased to 2.18% from 12.78%, and the issuer-weighted default rate declined to 2.86% from 7.34%. As a
130
2010
2010TD
reminder, given strong market technicals, few 2011 or 2012 maturities, and an expected moderate acceleration in US GDP growth next year, our 2011 default forecasts for high-yield bonds and loans are 1.5% and 2%, respectively. Additionally, our 2012 forecasts for bond and loan default rates are 2% and 3%, respectively.
Twelve-month rolling par-weighted default rates
16.0% 14.0% 12.0%
Nov-09 10.98% High-yield bond default rate Leveraged loan default rate
Nov-09 14.18%
Default rate
10.0% 8.0% 6.0% 4.0% 2.0% 0.0% Jan-94 Jan-95 Jan-96 Jan-97 Jan-98 Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08
Nov-10 2.18% Nov-10 0.74%
Jan-09
Twelve-month rolling issuer-weighted default rates

14.0% 12.0% 10.0% Default rate 8.0% 6.0% 4.0% 2.0% 0.0% Jan-94 Jan-95 Jan-96 Jan-97 Jan-98 Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10
Nov-10 2.86% Nov-10 2.16%
High-yield bond default rate Leveraged loan default rate

Oct-09 10.04% Oct-09 7.89%
Jan-10
Default activity was generally steady during the year, with the number of defaults ranging from 2 to 5 in each month except for January when 8 companies defaulted. This was a dramatic change from last year when an average of 10 companies defaulted per month. Default volumes reflected a different story, with total default volume increasing to an YTD high of $4.1 billion in November. Specifically, bond default volume increased for six consecutive months through November, from no defaults in May to $3 billion, and outpaced bank loan default volume in September, October and November, after trailing loan volumes during the prior 9-month stretch. Indicative of this pick up in defaults at the tail end of the year, six of the ten largest YTD defaults (including both bonds and loans) occurred in the 70 days leading up to November 30Novembers 5 defaults reflected the second, third, eighth, fifteenth, and sixteenth largest YTD.
131
Loan only issuers outpaced bond only issuer defaults by a score of 2 to 1

18 16 14 Number of defaults 12 10 8 6 4 2 0 Aug-09 Sep-09 Oct-09 Aug-10 Sep-10 Dec-08 Nov-09 Dec-09 Oct-10 62 58 2009 May-09 May-10 Nov-10 72 2010 Feb-09 Feb-10 Jul-09 Apr-09 Jan-09 Jun-09 Jan-10 Apr-10 Mar-09 Mar-10 Jun-10 Jul-10
10 11 10 9 9 7 6 5 3 5 3 2 2 2 5 4 4 2 4 15 16 17 17 Loan-only defaults Bond-and-loan defaults Bond-only defaults Average number of defaults Last 6 months = 3.5 6-months ending Dec 09 = 6.5 6-months ending May 09 = 14.3
Recovery rates for bonds and loans in 2010 were roughly in-line with historical averages. For bonds, the average recovery rate was 40.9%, compared with the longterm average of 39.2%. Senior secured bonds recovered $50.2, while senior and senior subordinated bonds recovered $25.9 and $23.2, respectively. For first-lien loans, average recoveries in 2010 averaged 72.2%, compared with Moodys longterm average of 65.6%, while second-lien loan recoveries were 13.3%.
First-lien loan recovery rates
8
Recovery (cents on the dollar)
100.0 90.0 80.0 70.0 60.0 50.0 40.0 30.0 20.0 10.0 0.0 1990 72
Average = 65.6%
86 75 79 74 57 69 73 65 59
88
84
84 69
68 61 53
68
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
Note: The grey shade in 2009 represents recovery rates using current prices versus the traditional measure 30 days after to account for the absence of liquidity in early 2009 when most of the default activity occurred. Sources: J.P Morgan; S&P/LCD.
Maturity schedule
As a result of the significant new-issue volumes back in 2006 and 2007, the maturity schedule for high-yield bonds and loans continues to be a focal point for leveraged credit investors. As it now stands, high-yield bond and loan maturities over the next two years are negligible, with only $180 billion coming due in 2011 or 2012. To put this into perspective, refinancing related issuance in the high-yield bond market totaled $265 billion in 2010. The real question lies beyond the next two years.
132
2008
Specifically, between 2013 and 2016, $1.08 trillion of high-yield bonds and loans will come due ($503 billion bonds and $575 billion loans). In particular, 2013 and 2014s $376 billion of institutional loans coming due equals 55% of all outstanding institutional loans.
300 250 200 150 100
51 52 56 22 31 1 77 42 0 0 0 124 122 94 167 137 106
High-yield bonds
252
153 115 97 100
50 0
2011
2012
2013
2014
2015
2016
2017
2018
2019
2020
2021 or later
Note: As of November 9, 2010. Sources: J.P. Morgan; Markit.
Debt maturing through 2014 has dropped nearly $400 billion since December 2008. As a result, the amount of debt set to mature through 2014 has been reduced by $393 billion since the beginning of last year. More specifically, maturities for 2010, 2011, 2012, 2013 and 2014 have declined by $57 billion, $64 billion, $90 billion, $127 billion and $55 billion, respectively.
Change in maturities since year end 2008
245 210 175 140 105 70 35 0 -35 -70 -105 -140
245
127 70
116
-57
-64 -90 -127
-55
2010
2011
2012
2013
2014
2015
2016
2017
2018 or later
Note: Change is measured between December 31, 2009 and November 9 2010. Sources: J.P. Morgan; Markit.
By asset class, the bond market has actually grown in aggregate by roughly $130 billion YTD, while the loan market remains relatively unchanged (+$8 billion). The growth of bonds relative to loans is largely the result of the record primary market volumes in high-yield, with a large share of new issuance used in bond-for-loan
133
takeout activity (YTD volume of $67 billion). As a result, maturities in the bond market through 2014 have dropped by $106 billion, compared with a $288 billion drop in loan maturities over that same span. Meanwhile, maturities in 2015 and beyond for both markets has grown by $559 billion ($417 billion in bonds and $142 billion in loans). Notably, all $142 billion in loan maturities were added to 2015, 2016 and 2017, while $172 billion of bond maturities was added to these years and $245 billion was added to 2018 or later.
Change in high-yield bond maturities since year end 2008
250 200 150 100 50 0 -50 -39 2010 -25 2011 -22 2012 -28 2013 2014 2015 2016 2017 2018 or later 41 8 45 86 245
Change in leveraged loan maturities since year end 2008

90 70 50 30 10 -10 -30 -50 -70 -90 -110 82 30 30 0 -18 -39 -68 -99 2013 -64
2010
2011
2012
2014
2015
2016
2017
2018 or later
The following is from the 2011 Global CDO outlook published November 24 and available on Morgan markets (Rishad Ahluwalia and Maggie Wang).
The future of the primary CLO market

Demand is picking up for CLO primary, with investors attracted to the historically high current coupon and subordination. We forecasted $5bn gross global CLO supply for 2010. With $5.7bn, that goal has been achieved. We expect $12.5bn ($1015bn) in 2011 and $25bn ($20-30bn) in 2012, but supply is net negative as paydowns will accelerate and outstandings will decline $57bn to $337bn by 2014. Our CLO supply projections are a fraction of peak volumes and leveraged finance will likely continue relying on the high yield market given the significant disruption to securitization markets very recently. Further, CLO origination depends on banks willingness to warehouse risk, financial reform, and the broader supply prospects for loans. Nevertheless, CLOs can play a role in future credit provision. Again, even assuming a large portion of bond and loan activity is used to reduce loan maturities in 2011, a large part of the $575bn wall will remain, and since most 2006/2007 CLOs will start amortizing, new CLOs can help mitigate defaults and damage to economic activity. On a broader level, our FIG analysts estimate $848bn and 1.8tn of bank debt in the US and Europe comes due by end-2013. Banks are not relying on securitization as much as in the past, but CLOs distribution channel and disintermediation can potentially ease some of the burden on balance sheets, especially as Basel III raises total capital requirements from 8% to 18% over the next few years, so holding loans on the balance sheet may be less efficient. See our MBS col-
134
leagues Outlook. Finally, we highlight the Feds recent Senior Loan Officer Survey: respondents believe lending conditions would remain tighter than their long-term average past 2011. This and broader bank deleveraging suggests a degree of disintermediation of the demand for credit is helpful. CLOs can be part of the solution.
CLO gross/net supply
200 Annual Gross 150 100 50 0 -50 -100 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012
-33 -19 -45 -38 19 18 24 13 39 18 32 70 61 44 18 7 5 13 25
Annual Net
150 136
139 121
17
Note: Global arbitrage and balance sheet transactions. Sources: J.P. Morgan; S&P/LCD.
Annualized loan prepayment rates have been in a 15-25% range over the last few quarters and we estimate US CLOs received about $66bn cash flows from prepays for reinvestment this year. If we consider both prepayments and collateral sales, CLO reinvestment may be as high as $105bn for FY 2010, and the effective CLO reinvestment rate may actually be closer to 38% for the year. The evidence suggests CLO managers are taking advantage of portfolio WAL test headroom and reinvesting into new-issue loans, which commonly have five- or six-year maturities and higher coupons with Libor floors. This effectively increases excess spread to equity and fees, but may also be creating extension risks. In fact, S&P states that existing CLOs bought about 37.6% or $45bn of $120bn new-issue loans in 2010 YTD. Our analysis estimates current outstanding US CLOs have reinvestment potential of $86bn, $68bn, $47bn, and $23bn for 2011, 2012, 2013, and 2014 or a cumulative $224bn to 2015.
Reinvestment expiry calendar and estimated reinvestment capacity of current outstanding US CLOs
120 100 80 60 40 20
1 6 9 13 3 28 61 48 60 88
CLOs exiting reinvestment period per year Total Reinvestment Capacity
0 2006 2008 2010 2012 2014 2016 2019
Sources: J.P. Morgan; S&P/LCD. 135
CLO underlying asset maturities

140
123
120 100 80 60 40 20
4 1 8 37 28 19 3 5 33 34 17 11 75
Underline maturity in US CLOs Underline maturity in Euro CLOs
50
0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020
136
The case for leveraged loans
137
138
The case for leveraged loans

To help understand the current state of the leveraged loan market and the prospects for the asset class going forward, a brief reflection upon where the asset class has been over the past couple of years is warranted. For leveraged loans, this discussion is complicated by the sizeable growth the market experienced pre-credit crisis, and the crucial role investor leverage played in obtaining that growth. In our view, the investing landscape for leveraged loans will continue to mend in 2011. With yields on fixed-rate bonds near historic lows and rate volatility expected to increase alongside an economic recovery, we believe the risk/return profile for floating rate loans will further improve on a relative basis in 2011, making loans among the most appealing investments to shield a portfolio against the potential of rising rates/inflation. In particular, due to their floating rate feature, leveraged loans limit interestrate risk, and thereby exhibit a low correlation to most asset classes. With default risk low for the foreseeable future and very little room for interest-rates to fall further, it should again prove beneficial next year to add leveraged loans to a highyield or investment-grade portfolio for diversification purposes.
Capital market conditions for leveraged loans continue to recover
450.0 400.0 New-issue volume ($bn) 350.0 300.0 250.0 200.0 150.0 100.0 50.0 0.0 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 YTD10 2011E
28 126 100 57 60 47 44 95 68 34 58 90 151 152 158 184 154 106 53 72 38 149 148 181 160 135 235
High-yield new-issue volume Institutional leveraged loan new-issue volume

325
388
300
First for context, leveraged loan prices went as low as $60 in December 2008 (historical recovery value is $70) amid a bout of forced selling at the hands of financial and investor de-leveraging, but more recently have recovered to $95. Some contributors to the forced selling at the time included banks offloading bridge loans, an unwind of TRS lines, sales by CLOs attempting to maintain compliance with tests, and sales by mutual funds and hedge funds in order to meet mounting redemptions. In early 2009 as investor de-leveraging wound down, the abatement of forced selling allowed prices to recover sharply from depressed levels. For example, prices on the S&P LSTA Leveraged Loan index rose from 61.74 in December 2008, to 87.35 in December 2009. These conditions coupled with a sharp drop in default risk led to historic returns for leveraged loans of +51.6% in 2009. While returns for leveraged loans have trailed returns for high yield bonds in 2010, they have managed to provide a healthy return of 9.6%. Notably, leveraged loans have also provided far less return volatility than bonds throughout 2010, with prices falling less when market volatility rose in February, May, and November.
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High-yield bond and loan returns

4.0%
3.0%
3.3% 2.8% 1.5% 1.2% 1.5% 0.1%0.4% -0.5% 1.4% 2.4% 1.5% 0.4% 0.8% 0.7%
3.0% Monthly returns (%)

2.0% 2.0% 1.4%
2.3% 2.3%
1.0% 0.0% -1.0% -2.0% -3.0% -4.0% Jan-10
0.2% 0.3%
High-yield Leveraged loans
-1.0% -2.2% -3.4%
Feb-10
Mar-10
Apr-10
May-10
Jun-10
Jul-10
Aug-10
Sep-10
Oct-10
Nov-10
Dec-10
Sources: J.P. Morgan; S&P/LCD..
For 2011, prospects for leveraged loans look bright, with a better GDP outlook (in light of the recent tax compromise), low defaults, strong balance sheets, and an upward bias to interest rates supporting demand for loans. Shades of this are already showing up in retail fund flow data and through conversations with various demand sources. For example, prices held reasonably steady and retail flows into the loan asset class reached historic heights in recent months, even as money shifted violently into and out of the high-yield bond asset class amid a more volatile rate environment. Meanwhile, anecdotally, crossover demand from relative value players like hedge funds, high-yield funds, multi-strategy managers, and even pension funds, endowments, and other institutional investors has increased since yields across all fixed income products declined. Loans offering a 5-6% floating rate yield with collateral protection should continue to garner significant attention in 2011. Forming the case for leveraged loans, we first lay out our outlook on key elements for the asset class for 2011. Beyond this, we discuss other defining features that we expect will continue to draw significant attention to the asset class in the years ahead, namely an attractive Sharpe ratio and low correlation to Treasuries.
High-yield bond and loan spreads remain wide
2100bp 1800bp 1500bp Spread 1200bp 900bp 600bp 300bp 0bp Jan-97 Jan-98 Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10
Loan spread 15-Dec-10 L+574bp High yield Leveraged loan HY spread 15-Dec-10 T+582bp
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GDP growth of 3% in 2011 and 2012: Due to a boost to disposable income in the early part of next year at the hands of the recent tax compromise, US GDP is now forecasted to expand 3.75% in 1H11 and 3.25% in 2H11. Furthermore, the forecast looks for a gradual acceleration in growth and hiring, sustained low core inflation, and a Fed that continues on the course of LSAP to support the economy. With the seeds of an economic recovery planted, our economists forecast US GDP growth (y/y) of 3.3% in 2011 and 3.0% in 2012, after growing 2.9% in 2010. Stronger growth in 2011 has positive implications for already strong credit fundamentals for loan issuers.
J.P Morgan US economic forecasts
4Q10E Real GDP Unemployment rate Core CPI Contribution to real GDP growth (% pts) Domestic final sales Net exports Inventories Components Savings rate Real disposable income Consumer spending Residential investment Housing starts Light vehicle sales (SAAR)
1Q11E 3.5% 9.6% 0.6%
%q/q 2Q11E 4.0% 9.4% 0.6%
3Q11E 3.5% 9.2% 0.7%
4Q11E 3.0% 9.0% 0.8%
2010 2.9% 9.7% 1.0%
%y/y 2011 3.3% 9.3% 0.7%
2012 3.0% 8.7% 0.9%
3.5% 9.7% 0.4%
3.4% 1.4% -1.2%
3.3% 0.5% -0.3%
3.7% 0.2% 0.1%
4.1% -0.3% -0.3%
3.3% -0.5% 0.1%
1.9% -0.6% 1.5%
3.5% -0.1% -0.1%
3.1% -0.2% 0.0%
5.1% 1.0% 4.0% 0% 0.55 12.2
5.3% 4.5% 3.5% 10% 0.60 12.4
5.3% 3.5% 3.5% 15% 0.65 12.6
5.1% 3.0% 4.0% 15% 0.68 12.8
5.1% 3.0% 3.0% 10% 0.70 12.9
5.6% 1.3% 1.7% -3.2% 0.59 11.5
5.2% 3.0% 3.2% 4.9% 0.66 12.7
4.8% 2.3% 2.7% 12.8% 0.78 13.2
Historically low interest rates: Although we expect growth to rise over the next two years, importantly, the US economy will still be operating with considerable slack. By the end of 2011, the US unemployment rate is expected to approach 9%, and is unlikely to fall below 8% until sometime in 2013. While our economists forecast does not call for outright deflation, core inflation is apt to remain below 1% through 2011 (0.7% y/y) and 2012 (0.9% y/y). With unemployment high and inflation low, Libor is expected to remain unchanged over the next year at 0.28%, and the Fed Funds rate will likely remain near zero over the next two years. Even so, investors will likely begin to contemplate the Feds eventual exit strategy in 2011. All of this leads our rates team to envisage a gradual pick-up in Treasury yields next year alongside improving growth prospects. Specifically, they forecast 2yr, 5yr, 10yr and 30yr Treasury yields will increase to 1.00%, 2.45%, 3.60%, and 4.80% by yearend 2011. For leveraged loans, while an unchanged Libor rate will do little to boost current income, the prospect for rising interest rates will continue to draw demand toward floating rate products.
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Treasury yields are expected to rise in 2011

Current Rates Fed funds target 3-mo LIBOR 3-month T-bill (bey ) 2-yr Treasury 5-yr Treasury 10-yr Treasury 30-yr Treasury 2s / 10s 5s / 10s
4Q10E 0-0.25% 0.28% 0.14% 0.45% 1.50% 2.80% 4.10% 2.35% 1.30%
1Q11E 0-0.25% 0.28% 0.15% 0.60% 1.75% 2.95% 4.25% 2.35% 1.20%
2Q11E 0-0.25% 0.28% 0.18% 0.80% 2.20% 3.35% 4.55% 2.55% 1.15%
3Q11E 0-0.25% 0.28% 0.19% 0.90% 2.30% 3.50% 4.65% 2.60% 1.20%
4Q11E 0-0.25% 0.28% 0.21% 1.00% 2.45% 3.60% 4.80% 2.60% 1.15%
Change current/4Q11 0 bp 0 bp + 7 bp + 33 bp + 33 bp + 7 bp + 21 bp - 26 bp - 26 bp
0-0.25% 0.28% 0.14% 0.67% 2.12% 3.53% 4.59% 2.86% 1.41%
Default rates to remain low: Leveraged loan default rates are likely to end 2010 at roughly 2.0%, versus 12.8% in 2009 and a long-term average of 4.0%. With market technicals strong leading into next year, 2011 and 2012 maturities negligible, our 2011 and 2012 default forecasts for leveraged loans are 2% and 3%, respectively, both still below their long-term average. For perspective, based on current spreads of L+588bp for loans, the implied default rate is 8.7%. Conversely, based on our default forecast, loan spreads should be L+355bp. In other words, loan spreads are cheap versus default risk and economic and/or interest rate surprises in 2011 stand a high chance of being absorbed at these levels.
14.0% High-yield bond default rate 12.0% Par-weighted default rates 10.0% 8.0% 6.0% 4.0% 2.0% 0.0% 2011E 2012E 1998 1999 2000 2001 2002 2003 2004 2006 2007 2008 2009 2010
1.7%1.5% 6.6% 5.0% 4.1% 4.2% 3.3% 12.8%
Loan default rate

9.1% 8.0% 6.3% 6.0%
10.3%
3.9% 3.0% 2.0% 2.0% 1.8% 1.5% 0.8%
2.3% 2.3% 1.1% 1.0%0.9% 0.5% 0.4%0.2%
2011 year-end spread and return targets for loans: For leveraged loans, we forecast a year-end 2011 spread and yield of L+475bp and 5.0%, respectively, with the potential for stronger returns in 2H11 versus 1H11, as investors begin to contemplate the Feds eventual exit strategy, raising the demand for floating rate loans. For full-year 2011, we forecast a return of 7.1%, which should be very attractive relative to other return opportunities in fixed income.
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Leveraged loan valuations

What today's loan spread implies for future defaults Actual spread 574bp Par - Recov. rate (100% - 65%)
Excess spread 285bp Default rate x 2.0% = =
Default loss 289bp Default loss 70bp + /
Recov rate (100% - 65%) Excess spread 285bp = =
Default rate 8.2% Implied spreads 355bp
Leveraged loan spread estimate using a 2% default rate
Expected 2011 leveraged loan return

Income component Current spread Target spread Price contribution Expected total return
4.1% L+574bp L+475bp 3.0% 7.1%
Supply will remain focused on refinancing heavy debt maturities: We expect to see continued improvement in primary conditions for leveraged loan issuers in 2011, after a better than three-fold increase in institutional volume year-over-year in 2010. For 2011, we forecast new-issuance of $160 billion, above this years pace of $140 billion. In terms of the maturity wall, 58% of the $412 billion in bonds and loans issued this year were used for refinancing purposes. Including 2009s issuance and amend to extend activity, the amount of debt set to mature through 2014 has now been reduced by $393 billion since the beginning of last year. As such, highyield bond and loan maturities over the next two years are negligible, with only $73 billion and $108 billion coming due in 2011 and 2012. To put this into perspective, the leveraged credit market completed $239 billion of refinancing related issuance thus far in 2010. This provides a clear runway for issuers and investors and is one of the factors behind our benign default outlook. Even so, focus in the primary market over the next couple of years will continue to be directed toward maturities between 2013 and 2016, as $1.08 trillion of high-yield bonds and loans still stand to come due ($503 billion bonds and $575 billion loans).
300 250 200 150 100
51 52 56 22 31 1 77 42 0 0 0 124 122 94 167 137 106
High-yield bonds
252
153 115 97 100
50 0
2011
2012
2013
2014
2015
2016
2017
2018
2019
2020
2021 or later
Note: As of November 9, 2010 Sources: J.P. Morgan; Markit. 143
Risk/return: attractive profile is resurfacing for loans

When making an asset allocation decision, recognizing volatility in the context of returns is an important step toward managing risk. For leveraged loans, this discussion becomes extremely complicated by 1) the sizeable market growth experienced pre-credit crisis 2) the crucial role investor leverage played in obtaining that growth and 3) the altered landscape in the aftermath of reduced TRS lines and the absence of new CLO origination. Because of extreme price swings experienced during the financial crisis, a look at returns and volatility extending beyond the past year creates an unfavorable comparison. For example, loan prices dipped to levels likely to never be seen again in the fall of 2008, which were below historical recovery rates, driven by forced selling via banks offloading bridge loans, an unwind of TRS lines, sales by CLOs attempting to maintain compliance with tests, and sales by mutual funds and hedge funds in order to meet mounting redemptions. Pre-credit crisis, leveraged loan prices rarely deviated from par, and return volatility at the time was only a fraction of that experienced by most other asset classes.
Risk adjusted returns
1 year Fixed Income 5-year Treasury 10-year Treasury JPMorgan MBS Bond Index Aggregate Bond Index Investment Grade Index JPMorgan Global HY Index S&P 500 Leveraged loans 6.64% 7.30% 4.80% 6.04% 8.96% 3 year 7.28% 7.23% 7.00% 6.39% 7.81% Average annual returns 5 7 10 year year year 7.03% 6.85% 6.82% 6.23% 6.93% 8.72% 0.98% 5.07% 5.38% 5.77% 5.95% 5.42% 5.98% 8.54% 3.65% 5.10% 6.12% 6.21% 6.28% 6.15% 7.22% 9.24% 0.81% 5.15% 15 year 5.94% 5.89% na 6.22% 6.77% 1 year 4.89% 8.75% 2.78% 3.22% 4.18% Average annual volatility 3 5 7 10 year year year year 5.23% 9.73% 3.40% 4.12% 8.59% 4.70% 8.21% 3.04% 3.58% 6.94% 4.62% 7.75% 2.94% 3.57% 6.34% 4.98% 8.15% 2.93% 3.80% 6.13% 15 year 4.62% 7.59% na 3.66% 5.58% 1 year 1.36 0.83 1.73 1.88 2.14 Modified Sharpe Ratio 1 3 5 7 10 15 year year year year year 1.39 0.74 2.06 1.55 0.91 1.50 0.83 2.24 1.74 1.00 0.67 0.06 0.46 1.17 0.74 2.02 1.52 0.94 0.76 0.24 0.55 1.23 0.76 2.14 1.62 1.18 0.89 0.05 0.65 1.28 0.78 na 1.70 1.21 0.83 0.40 0.83
16.34% 9.60% 9.94% -5.15% 11.99% 5.46%
7.62% 6.95% 16.49% 12.98% 11.18% 10.43% 9.19% 6.45% 18.38% 21.80% 17.59% 15.47% 16.25% 16.30% 5.39% 4.81% 14.05% 11.02% 9.30% 7.91% 6.50%
2.35 0.58 0.54 -0.24 2.49 0.39
1. Returns are through November 30, 2010 Source: J.P. Morgan.
Annual returns for leveraged loans

60.0% 50.0% 40.0% 30.0% 20.0% 10.0% 0.0% -10.0% -20.0% -30.0% -40.0%
51.6%
Annual total return
7.5%
10.0% 5.5% 4.2% 5.0% 4.2% 5.2% 1.9% 5.1%
6.8% 2.0%
9.6%
-29.1%
Source: S&P/LCD.
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2010YTD
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
Importantly, while return volatility for the leveraged loan asset class is unlikely to return to the very low levels pre-credit crisis (1.5% annualized five-years ending June 2007), encouragingly, we do believe it will continue to recede to a more normalized level that could match, or even fall below what has been experienced over the past 12 months. As of November 30th 2010, the standard deviation of twelve months returns for leveraged loans has dropped to 4.8%, from a peak of 23.6% in August 2009, and the return per unit of risk has improved to 2.5% (return of 12% divided by volatility of 4.8%). By comparison, this risk/return profile has exceeded that for stocks and Treasuries over the past year, and more closely resembled that for other credit products. Going forward, with Treasury rates low, yields on fixedrate bonds near historical lows, and rate volatility expected to increase alongside an economic recovery, we believe the risk/return profile for floating rate loans will further improve on a relative basis, making loans among the most appealing investments to shield a portfolio against the potential of rising rates/inflation.
Risk-adjusted returns for various assets over the past 12 months
One year ended November 30, 2010 Annualized Return Leveraged Loans JPMorgan Global High-Yield Index JPMorgan JULI High-Grade Index 5-year Treasury Russell 2000 10-Year Treasury S&P 500
Source: J.P.Morgan.
Volatility 4.81% 6.95% 4.18% 4.89% 24.28% 8.75% 18.38%
Risk/Return 2.49 2.35 2.14 1.36 1.11 0.83 0.54
11.99% 16.34% 8.96% 6.64% 26.99% 7.30% 9.94%
So what has the risk/return profile historically looked like? Pre-credit crisis, leveraged loans historically had provided investors with very low return volatility compared with other assets, which led to their superior risk/reward profile. For example, over the five years ended June 2007, leveraged loans had annualized return volatility of a mere 1.5%, compared with equities, investment-grade bonds, and high-yield bonds of 11.6%, 5.0%, and 4.9%, respectively. Combined with an annualized return of 6.1%, leveraged loans had a 4.1% annualized return per unit of risk over the five year period ended June 2007. For perspective, equities, investment-grade bonds, and high-yield bonds provided a far lower return per unit of risk over the comparable period of 0.9%, 1.1%, and 2.4%, respectively, even as their respective absolute returns compared quite favorably to loans (6.1% versus 10.7%, 5.6%, and 11.6%, respectively). Looking at 3- and 10-year risk/return ratios pre-credit crisis for leveraged loans told a similar story. Each time period illustrated substantial disparities that worked strongly in favor of leveraged loans. Of course, the period that subsequently ensued for leveraged loans, during the height of the credit crisis, rendered any historical price volatility comparison effectively useless. In hindsight, price volatility was arguably understated due to the lack of price transparency, and overstated between July 2007 and June 2009, due to forced selling. Over the two year period ended June 2009, leveraged loans annualized
145
return volatility rose to 16.7%, versus 1.5% during the prior 5 year period. This led to a sharp deterioration in the risk/return profile for leveraged loans, from the 4.1% annualized return per unit of risk over the five year period ended June 2007, to -0.3% over the two year period ended June 2009.
Annualized volatility on various assets
10.0% 9.0% 8.0% Annualized Volatility 7.0% 6.0% 5.0% 4.0% 3.0% 2.0% 1.0% 0.0% Oct-95 Oct-96 Oct-97 Oct-98 Oct-99 Oct-00 Oct-01 Oct-02 Oct-03 Oct-04 Oct-05 Oct-06 Oct-07 Oct-08 Oct-09 0.83% 0.40% 0.06% 0.00% 1 Year 5 Years 15 Years Oct-10 S&P 500 Index JPMorgan Global HY Bond Index Leveraged Loans 5-year Treasury Investment Grade
As of November 2010, while the return per unit of risk over the past five years looks relatively weak (chart below) as a result of the financial crisis, the past year offers encouraging signs of what investors should expect in the future. As mentioned earlier, price volatility for loans over the past year has dropped to 4.8%, above levels pre-credit crisis but well below levels during the crisis, leading the return per unit of risk to improve to 2.5%. Thus, even as returns for loans have trailed other asset classes over the past 12 months, a 2.5% return per unit of risk tops high-yield bonds (2.4%) and investment-grade (2.1%), and is well above ratios for the 10-year Treasury (0.8%) and equities (0.5%).
Risk-adjusted returns on various assets
3.00% 2.49% 2.50% Risk-Adjusted Returns 2.14% 2.00% 1.50% 1.00% 0.54% 0.50% 0.46% 1.00% 0.67% 0.83% 1.21% 2.35% Leveraged Loans Investment grade bonds S&P 500 JPMorgan Global High-Yield Index
Note: Returen per unit of risk measured by dividing the annualized return by the annualized volatility for each respective time period. Source: J.P. Morgan.
146
Risk/reward ratios over the last 10 years

14.00% Gold 12.00% 10.00% Annualized Return 8.00% JPM MBS Bond Index 6.00% LB Agg. Bond Index 4.00% 2.00% S&P 500 0.00% FTSE 100 -2.00% -4.00% 0.00% 5.00% 10.00% Annualized Volatility 15.00% CAC 40 20.00% 25.00% S&P 500 Barra Growth Index Wilshire 5000 5-year Treasury 10-year Treasury Leveraged Loans Investment Grade Russell 2000 JPMorgan EMBI- Global Composite
DAX
Sources: J.P Morgan; S&P/LCD.
Correlation: leveraged loans have minimal correlation to interest rates An initial upward move in the Fed funds rate, or alternatively, a wind down of assets taken onto the Feds balance sheet (the expected first step), is not expected to occur until late 2012, at the earliest. Nevertheless, a factor likely to play a key role in asset allocations in 2011 and working in leveraged loans favor is rising interest rates. Even with core inflation expected to average less than 1% next year and the Fed funds rate and Libor rates expected to remain unchanged, questions around fiscal imbalances and an eventual exit by the Fed should cause investors to focus on higher rates in 2011. All of this led our rates team to envisage a gradual pick-up in Treasury yields beyond the first quarter of next year alongside improving growth prospects. Specifically, they forecast 2yr, 5yr, 10yr and 30yr Treasury yields will increase to 1.00%, 2.45%, 3.60%, and 4.80% by year-end 2011. As such, low fixed coupons across the bond market will eventually become more vulnerable to rising interest rates. But even before this, we expect demand for loans, which carry a 5-6% yield that floats and sits senior in the capital structure, to benefit from the dearth of alternatives available to protect a portfolio against rising rates. Due to their floating rate feature, leveraged loans limit interest-rate risk, and thereby exhibit a low correlation to most asset classes. For example, looking back over the last fifteen years ending November 30, 2010, the correlation between leveraged loans and 5- and 10-year Treasuries was -0.38 and -0.36, respectively. This is easily the lowest among fixed income classes, and only slightly higher than that for stocks. Meanwhile, the correlation of leveraged loan returns with high-grade bonds (0.23) and the S&P 500 (0.41) is also low. The one exception is the correlation to highyield bonds, 0.80.
147
The correlation between leveraged loans and all asset classes is minimal
Aggregate Bond Index JPM Global HY Index EM Bond Index EM Stock Index
5-year Treasury 10-year Treasury Aggregate Bond Index Investment Grade Index JPMorgan Global HY Index S&P 500 Wilshire 5000 Russell 2000 JPMorgan EMBI- Global Composite Dow Jones World EM Stock Index Gold US Inflation Leveraged loans 0.94 0.85 0.58 -0.24 -0.25 -0.27 -0.31 0.05 -0.27 0.21 -0.16 -0.38
10-year Treasury 0.90 0.67 -0.18 -0.19 -0.21 -0.25 0.12 -0.23 0.21 -0.21 -0.36
IG Index
S&P 500
Wilshire 5000
Russell 2000
Gold
US Inflation
0.88 0.18 0.02 0.00 -0.05 0.31 -0.04 0.25 -0.15 -0.03 0.46 0.22 0.21 0.15 0.45 0.19 0.24 -0.15 0.23 0.60 0.62 0.63 0.58 0.62 0.13 0.13 0.80 0.99 0.80 0.57 0.73 -0.01 0.03 0.41 0.87 0.58 0.75 0.02 0.03 0.42 0.54 0.70 0.08 0.02 0.43 0.68 0.29 0.06 0.29 0.21 0.04 0.42 0.07 0.02 0.32
Note: Fifteen years ended November 30, 2010. Sources: JPMorgan; S&P/LCD.
Finally, including leveraged loans in ones portfolio is probably more pertinent now than ever before given the uncertainties surrounding the US fiscal situations future impact on interest rates and corporate profits. As demonstrated in the following chart, increasing the weighting toward leveraged loans within a high-yield portfolio can improve returns while decreasing risk. Specifically, over the last fifteen years ended November 30, 2010, a portfolio consisting of 40% high-yield bonds and 60% leveraged loans provided investors with an optimal 0.88% return per unit of risk. A similar case can be made within a high-grade portfolio, where increasing leveraged loan weightings within a high-grade portfolio can also improve returns while decreasing risk. Given we expect interest rate risk to be more pertinent than credit risk over the next several years, a high-grade portfolio would be well served to allocate toward loans where the current income is comparable (4.1% versus 5.5%). For example, over the last fifteen years ended November 30, 2010, a portfolio consisting of 70% high-grade bonds and 30% leveraged loans provided investors with an optimal 1.35% return per unit of risk. With default risk low for the foreseeable future, economic conditions improving, and with very little room for interest-rates to fall further, it should again prove beneficial in 2011 to add leveraged loans to a high-yield or investment-grade portfolio for diversification purposes.
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Fifteen year risk/return trade-offleveraged loans versus high-yield bonds

8.00% 7.50% Annualized return 7.00% 6.50% 6.00% 5.50% 5.00% 6.25% 100% Leveraged loans 6.75% 7.25% 7.75% Annualized volatility 8.25% 8.75% 9.25%
25% High yield/ 75% Leveraged loans
Optimum risk/return point 40% High yield 60% Leveraged loans 75% High yield/ 25% Leveraged loans
100% High yield
Fifteen year risk/return trade-offleveraged loans versus investment grade bonds

7.50% 7.00% Annualized return 6.50% 6.00% 5.50% 5.00% 4.50% Optimum risk/return point 70% Investment Grade 30% Leveraged loans 5.00% 5.50% 6.00% Annualized volatility
25% Invest. Grade/ 75% Leveraged loans
75% Invest. Grade/ 25% Leveraged loans
100% Investment Grade
100% Leveraged loans 6.50% 7.00%
149
150
Appendix
A1
Peter D. Acciavatti (1-212) 270-9633 Tony Linares (1-212) 270-3285 Nelson R. Jantzen (1-212) 270-1169 Alisa Meyers (1-212) 834-9151 North American High Yield Research 2010 High-Yield Annual Review December 2010
2010 US dollar new issues (through December 10, 2010)
Sorted by issuer
Date 19-Oct 20-Sep 20-Jan 20-Oct 22-Jul 26-Apr 26-Jul 06-Dec 30-Sep 08-Nov 15-Nov 21-Apr 27-Jul 27-Jul 15-Oct 27-Jul 27-Apr 06-Dec 15-Sep 11-Mar 22-Apr 12-Nov 04-Mar 08-Sep 09-Aug 15-Nov 28-Oct 07-Oct 01-Dec 21-Oct 06-May 27-Apr 23-Nov 09-Apr
Issuer Abengoa Finance ABI Escrow (AbitibiBowater Inc) Accellent Accellent Accuride Corp Advance Auto Parts Advanced Micro Devices Affinia Group Affinion Group Affinion Group Affinity Group Agile Property Air Canada Air Canada Air Medical Group Holdings AirCastle Ltd AK Steel Corp AK Steel Corp Alere Inc Alion Science and Technology Allbritton Communication Allen Systems Group Alliance Oil Co Alliant Techsystems Ally Financial Ally Financial Alrosa Finance Alta Mesa Holdings AMC Entertainment American Achievement American Petroleum American Renal Holding American Reprographics American Residential Services
Amount ($ mn) 650.0 850.0 400.0 315.0 310.0 300.0 500.0 100.0 325.0 475.0 333.0 650.0 200.0 600.0 545.0 300.0 400.0 150.0 400.0 310.0 455.0 300.0 350.0 350.0 1,750.0 1,000.0 1,000.0 300.0 600.0 365.0 285.0 250.0 200.0 165.0 Security Guar Nts Sr Sec Nts (1st) Sr Sec Nts Sr Sub Nts Sr Sec Nts (1st) Sr Nts Sr Nts Sr Sub Nts Guar Nts Sr Nts Sr Sec Nts (1st) Sr Unsec Nts Sr Sec Nts (2nd) Sr Sec Nts (1st) Sr Sec Nts (1st) Sr Nts Sr Nts Guar Nts Sr Sub Nts Sr Sec Nts (1st) Sr Nts Sr Sec Nts (2nd) Sr Unsec Nts Sr Sub Nts Sr Nts Guar Nts Sr Nts Sr Nts Sr Sub Nts Sr Sec Nts (2nd) Sr Sec Nts (1st) Sr Sec Nts (1st) Sr Nts Sr Sec Nts (2nd) Coupon % 8.875 10.250 8.375 10.000 9.500 5.750 7.750 9.000 11.625 7.875 11.500 8.875 12.000 9.250 9.250 9.750 7.625 7.625 8.625 12.000 8.000 10.500 9.875 6.875 7.500 6.250 7.750 9.625 9.750 10.875 10.250 8.375 10.500 12.000 Maturity 01-Nov-17 15-Oct-18 01-Feb-17 01-Nov-17 01-Aug-18 01-May-20 01-Aug-20 30-Nov-14 15-Nov-15 15-Dec-18 01-Dec-16 28-Apr-17 01-Feb-16 01-Aug-15 01-Nov-18 01-Aug-18 15-May-20 15-May-20 01-Oct-18 01-Nov-14 15-May-18 15-Nov-16 11-Mar-15 15-Sep-20 15-Sep-20 01-Dec-17 03-Nov-20 15-Oct-18 01-Dec-20 15-Apr-16 01-May-15 15-May-18 15-Dec-16 15-Apr-15 Ratings Ba3/B+ B1/NR B1/B+ Caa2/CCC+ B2/B Ba1/BBBBa3/B+ B3/CCC+ Caa1/BB3/BB3/BBa3/BB Caa1/BB2/B+ B2/B Ba3/BB+ Ba3/BB Ba3/BB B3/BB1/B B2/B B2/B NR/B+ B1/BBB3/B B3/B Ba3/BBB3/B Caa1/CCC+ B3/B B1/B+ B2/B B1/BBB2/NR
Proceeds ($ mn) 637.6 850.0 397.4 315.0 301.6 298.8 500.0 100.0 320.3 471.5 326.0 650.0 192.3 594.2 545.0 295.9 400.0 149.1 400.0 302.3 455.0 300.0 350.0 350.0 1,734.5 986.0 1,000.0 297.9 600.0 365.0 277.0 248.2 195.6 164.2
Issuance Yield % Spread 9.250 710bp 10.250 789bp 8.500 540bp 10.000 822bp 10.000 745bp 5.805 200bp 7.750 475bp 9.000 789bp 12.000 1077bp 8.000 595bp 12.000 965bp 8.875 571bp 13.000 1122bp 9.500 772bp 9.250 713bp 10.000 735bp 7.625 394bp 7.718 486bp 8.625 631bp 12.720 1122bp 8.000 460bp 10.500 882bp 9.875 759bp 6.875 423bp 7.625 480bp 6.500 435bp 7.750 509bp 9.750 783bp 9.750 679bp 10.875 955bp 11.000 875bp 8.500 513bp 11.000 893bp 12.125 948bp
Sector Industrials Paper and Packaging Healthcare Healthcare Transportation Automotive Technology Automotive Services Services Diversified Media Housing Transportation Transportation Healthcare Financial Metals and Mining Metals and Mining Healthcare Industrials Broadcasting Technology Energy Industrials Financial Financial Metals and Mining Energy Gaming Lodging and Leisure Consumer Products Transportation Healthcare Diversified Media Services
Use of proceeds General Corporate Other Refinancing Refinancing Refinancing General Corporate Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Acquisition Finance Refinancing Refinancing General Corporate General Corporate Refinancing Refinancing Refinancing Refinancing Refinancing General Corporate General Corporate Unknown Refinancing Refinancing Refinancing Refinancing Acquisition Finance Refinancing Refinancing
A2
Sorted by issuer
Date 28-Apr 19-May 11-Aug 02-Dec 29-Apr 16-Nov 12-Mar 09-Aug 13-Jan 29-Jan 02-Aug 30-Sep 30-Sep 26-Feb 01-Nov 28-Apr 30-Apr 01-Oct 19-Apr 31-Mar 05-Mar 07-Oct 15-Nov 01-Oct 11-Mar 11-Jan 17-Mar 15-Nov 29-Jun 13-Sep 04-May 08-Nov 27-Oct 22-Apr
Issuer American SeaFoods American Tire Distributors American Tower American Tower Amkor Tech Inc AMO Escrow (American Media Op.) Amsted Industries Anadarko Petroleum Antero Resources Appleton Papers Arch Coal Ardagh Packaging Finance Ardagh Packaging Finance ArvinMeritor Inc Asbury Auto Group ASG Consolidated Aspect Software Associated Materials ATP Oil & Gas AutoNation Inc Avis Budget Car Rental Avis Budget Car Rental Avis Budget Car Rental Awas Aviation Axtel SA B&G Foods Ball Corp Ball Corp Bankrate BE Aerospace Beazer Homes USA Beazer Homes USA Berry Petroleum Berry Plastics
Amount ($ mn) 275.0 250.0 700.0 1,000.0 345.0 385.0 500.0 2,000.0 150.0 305.0 500.0 350.0 450.0 250.0 200.0 125.0 300.0 730.0 1,500.0 400.0 450.0 400.0 200.0 600.0 190.0 350.0 500.0 500.0 300.0 650.0 300.0 250.0 300.0 500.0 Security Sr Sub Nts Sr Sec Nts (2nd) Sr Nts Sr Nts Sr Unsec Nts Sr Sec Nts (1st) Sr Nts Sr Nts Sr Nts Sr Sec Nts (1st) Sr Nts Sr Sec Nts Guar Nts Guar Nts Sr Sub Nts Sr Nts Sr Sec Nts (2nd) Sr Sec Nts Sr Sec Nts (2nd) Guar Nts Guar Nts Guar Nts Guar Nts Sr Sec Nts Guar Nts Sr Nts Sr Nts Sr Nts Sr Sec Nts (1st) Sr Nts Sr Nts Sr Nts Sr Nts Sr Sec Nts (2nd) Coupon % 10.750 9.750 5.050 4.250 7.375 11.500 8.125 6.375 9.375 10.500 7.250 7.375 9.125 10.625 8.375 15.000 10.625 9.125 11.875 6.750 9.625 8.250 8.250 7.000 9.000 7.625 6.750 5.750 11.750 6.875 9.125 9.125 6.750 9.500 Maturity 15-May-16 01-Jun-17 01-Sep-20 15-Jan-18 01-May-18 15-Dec-17 15-Mar-18 15-Sep-17 01-Dec-17 15-Jun-15 01-Oct-20 15-Oct-17 15-Oct-20 15-Mar-18 15-Nov-20 15-May-17 15-May-17 01-Nov-17 01-May-15 15-Apr-18 15-Mar-18 15-Jan-19 15-Jan-19 15-Oct-16 22-Sep-19 15-Jan-18 15-Sep-20 15-May-21 15-Jul-15 01-Oct-20 15-Jun-18 15-May-19 01-Nov-20 15-May-18 Ratings B3/B B2/CCC+ Baa3/BB+ Baa3/BB+ Ba3/B+ NR/NR B1/BBBa1/BBBCaa1/B B1/B+ B1/BBBa3/BBB3/BBCaa2/CCCCaa1/BB3/B Caa1/BB3/B Caa2/B Ba2/BB+ B3/B B3/B B3/B Ba2/BBBBa3/BBB2/B+ Ba1/BB+ Ba1/BB+ B2/B Ba3/BB Caa2/CCC Caa2/CCC B2/BB Caa1/CCC
Proceeds ($ mn) 272.0 246.9 699.2 999.2 345.0 385.0 496.4 2,000.0 156.0 299.0 500.0 350.0 450.0 245.1 200.0 125.0 300.0 730.0 1,493.0 394.0 443.9 400.0 202.0 600.0 194.8 347.4 500.0 500.0 297.2 644.2 300.0 246.4 300.0 500.0
Issuance Yield % Spread 11.000 808bp 10.000 721bp 5.065 238bp 4.512 215bp 7.375 366bp 11.500 933bp 8.250 490bp 6.375 416bp 8.489 503bp 11.000 865bp 7.250 431bp 7.375 547bp 9.125 662bp 11.000 772bp 8.375 575bp 15.000 1184bp 10.625 747bp 9.125 723bp 12.000 949bp 7.000 355bp 9.875 655bp 8.250 587bp 8.000 511bp 7.000 543bp 8.609 541bp 7.750 417bp 6.750 312bp 5.750 283bp 12.000 1023bp 7.000 454bp 9.125 585bp 9.375 682bp 6.750 405bp 9.500 607bp
Sector Food and Beverages Automotive Telecommunications Telecommunications Technology Diversified Media Industrials Energy Energy Paper and Packaging Metals and Mining Paper and Packaging Paper and Packaging Automotive Automotive Food and Beverages Technology Housing Energy Automotive Automotive Automotive Automotive Transportation Telecommunications Food and Beverages Paper and Packaging Paper and Packaging Financial Industrials Housing Housing Energy Paper and Packaging
Use of proceeds General Corporate Acquisition Finance Acquisition Finance General Corporate Refinancing Other Refinancing Refinancing Refinancing Refinancing Refinancing Acquisition Finance Acquisition Finance Refinancing Refinancing General Corporate Refinancing Acquisition Finance Refinancing Refinancing Refinancing Acquisition Finance Acquisition Finance Refinancing Refinancing General Corporate Refinancing Refinancing Acquisition Finance General Corporate Refinancing Refinancing Refinancing Acquisition Finance
A3
Sorted by issuer
Date 10-Nov 16-Sep 16-Sep 17-Mar 06-Dec 09-Mar 15-Mar 15-Mar 13-Sep 28-Oct 21-Jan 30-Apr 01-Oct 01-Dec 07-Oct 16-Sep 23-Nov 13-Jan 13-Jan 02-Feb 09-Mar 09-Aug 06-Dec 30-Sep 01-Oct 21-Oct 08-Jun 16-Apr 12-Apr 12-Apr 10-Nov 17-May 20-Jul 18-Oct 21-Jun
Issuer Berry Plastics Beverages & More BEVMO Intermediate Holdings Bio Scrip Inc Bio-Rad Laboratories Boise Paper Holding Bombardier Bombardier BorgWarner Boyd Gaming Brasil Foods Braskem SA Breitburn Energy Partners Bresnan Broadband Brickman Group Brigham Exploration Brightstar Corp Brocade Communications System Brocade Communications System Building Materials Corp of America Building Materials Corp of America Building Materials Corp of America Bumble Bee Acquisition Bumi Investment Burger King (Blue Acquisition Sub) BWAY BWAY Holding Co C&S Group Enterprises Cablevision Systems Cablevision Systems Calfrac Holdings Calpine Corp Calpine Corp Calpine Corp Capella Healthcare
Amount ($ mn) 800.0 125.0 31.3 225.0 425.0 300.0 850.0 650.0 250.0 500.0 750.0 400.0 305.0 250.0 250.0 300.0 250.0 300.0 300.0 250.0 325.0 450.0 605.0 700.0 800.0 150.0 205.0 300.0 500.0 750.0 450.0 400.0 1,100.0 2,000.0 500.0 Security Sr Sec Nts (2nd) Sr Sec Nts (1st) Sr Sec PIK Nts Sr Nts Sr Nts Sr Unsec Nts Sr Nts Sr Nts Sr Nts Sr Nts Sr Nts Guar Nts Sr Nts Guar Nts Sr Nts Sr Nts Guar Nts Sr Sec Nts (1st) Sr Sec Nts (1st) Sr Sec Nts (1st) Sr Nts Sr Nts Sr Sec Nts (1st) Guar Nts Sr Nts Sr PIK Nts Sr Nts Sr Sec Nts (1st) Sr Nts Sr Nts Sr Nts Sr Sec Nts (1st) Sr Sec Nts (1st) Sr Sec Nts (1st) Guar Nts Coupon % 9.750 9.625 14.000 10.250 4.875 8.000 7.750 7.500 4.625 9.125 7.250 7.000 8.625 8.000 9.125 8.750 9.500 6.625 6.875 7.000 7.500 6.875 9.000 10.750 9.875 10.125 10.000 8.375 8.000 7.750 7.500 8.000 7.875 7.500 9.250 Maturity 15-Jan-21 01-Oct-14 01-Apr-15 01-Oct-15 15-Dec-20 01-Apr-20 15-Mar-20 15-Mar-18 15-Sep-20 01-Dec-18 28-Jan-20 07-May-20 15-Oct-20 15-Dec-18 01-Nov-18 01-Oct-18 01-Dec-16 15-Jan-18 15-Jan-20 15-Feb-20 15-Mar-20 15-Aug-18 15-Dec-17 06-Oct-17 15-Oct-18 11-Nov-15 15-Jun-18 01-May-17 15-Apr-20 15-Apr-18 01-Dec-20 15-Aug-19 31-Jul-20 15-Feb-21 01-Jul-17 Ratings Caa1/CCC Caa1/BNR/NR B3/BBa1/BB B2/BBBa2/BB+ Ba2/BB+ Ba1/BBB Caa1/BBa1/BB+ Ba1/BB+ B3/B+ B3/B+ B3/CCC+ Caa2/B+ B1/BBBa2/BBBBa2/BBBBa3/BBBB3/BBB1/BB+ B2/B+ Ba3/BB Caa1/BNR/CCC+ B3/BB2/BBB1/B+ B1/B+ B2/B+ NR/NR B1/B+ B1/B+ B3/B
Proceeds ($ mn) 800.0 125.0 31.3 225.0 422.6 294.9 850.0 650.0 247.5 500.0 743.5 400.0 300.0 250.0 250.0 300.0 250.0 297.7 297.3 250.0 322.2 443.2 605.0 700.0 800.0 145.5 202.2 300.0 500.0 750.0 450.0 400.0 1,090.6 2,000.0 493.7
Issuance Yield % Spread 9.750 690bp 9.625 851bp 14.000 1254bp 10.250 789bp 4.946 200bp 8.250 455bp 7.750 404bp 7.500 415bp 4.625 200bp 9.125 690bp 7.375 377bp 7.000 334bp 9.000 637bp 8.000 550bp 9.125 712bp 8.750 644bp 9.500 777bp 6.750 329bp 7.000 321bp 7.000 337bp 7.625 393bp 7.125 477bp 9.000 673bp 10.750 884bp 9.875 772bp 10.917 901bp 10.250 743bp 8.375 517bp 8.000 415bp 7.750 424bp 7.500 479bp 8.000 460bp 8.000 505bp 7.500 495bp 9.500 680bp
Sector Paper and Packaging Retail Retail Healthcare Healthcare Paper and Packaging Industrials Industrials Automotive Gaming Lodging and Leisure Food and Beverages Chemicals Energy Cable and Satellite Services Energy Services Technology Technology Housing Housing Housing Food and Beverages Metals and Mining Food and Beverages Paper and Packaging Paper and Packaging Retail Cable and Satellite Cable and Satellite Energy Utility Utility Utility Healthcare
Use of proceeds Refinancing Refinancing Refinancing Acquisition Finance Refinancing Refinancing Refinancing Refinancing General Corporate Refinancing General Corporate Refinancing Refinancing Acquisition Finance Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Acquisition Finance Unknown Acquisition Finance Other Acquisition Finance Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing
A4
Sorted by issuer
Date 12-Aug 28-Oct 22-Jun 19-May 05-Oct 14-Apr 14-Apr 20-Sep 03-Dec 15-Jul 15-Sep 13-Jan 13-Oct 25-Feb 29-Jan 29-Apr 10-Mar 09-Dec 20-Apr 20-Apr 13-Sep 22-Sep 09-Nov 13-Aug 09-Aug 09-Aug 11-Aug 10-Nov 10-Mar 07-Oct 08-Nov 06-Dec 18-Jun 06-Jul 13-Oct
Issuer Cardtronics Inc Carrizo Oil & Gas Case New Holland Catalyst Paper CB Richard Ellis CCO Holdings Inc CCO Holdings Inc CCO Holdings Inc CDW LLC Cedar Fair Celanese US Holdings CEMEX Central China Real Estate Central Garden & Pet Company Cenveo Cequel Communications Ceva Group Plc Ceva Group Plc CF Industries CF Industries Chaparral Energy CHC Helicopter Checkout Holding Chemtura Corp Chesapeake Energy Chesapeake Energy China Oriental Group China Oriental Group Cincinnati Bell Cincinnati Bell Cincinnati Bell Citadel Broadcasting CITGO Petroleum CKE Restaurants Clearwater Paper
Amount ($ mn) 200.0 400.0 1,500.0 110.0 350.0 900.0 700.0 1,000.0 450.0 405.0 600.0 500.0 300.0 400.0 400.0 600.0 625.0 450.0 800.0 800.0 300.0 1,100.0 438.6 455.0 600.0 1,400.0 550.0 300.0 625.0 500.0 275.0 400.0 300.0 600.0 375.0 Security Coupon % Sr Sub Nts 8.250 Sr Nts 8.625 Sr Nts 7.875 Sr Sec Nts (1st) 11.000 Sr Nts 6.625 Sr Nts 7.875 Sr Nts 8.125 Sr Nts 7.250 Sr Sec Nts (1st) 8.000 Sr Nts 9.125 Guar Nts 6.625 Sr Sec Nts 9.500 Sr Sec Nts 12.250 Sr Sub Nts 8.250 Sr Sec Nts (2nd) 8.875 Sr Unsec Nts 8.625 Sr Sec Nts 11.500 Sr Sec Nts (1st) 8.375 Sr Unsec Nts 7.125 Sr Unsec Nts 6.875 Sr Nts 9.875 Sr Sec Nts (1st) 9.250 Sr Disc Nts 0/10.125 Guar Nts 7.875 Sr Nts 6.875 Sr Nts 6.625 Sr Sec Nts 8.000 Sr Sec Nts 7.000 Sr Sub Nts 8.750 Sr Nts 8.375 Sr Nts 8.375 Guar Nts 7.750 Sr Sec Nts (1st) 11.500 Sr Sec Nts (2nd) 11.375 Sr Nts 7.125 Maturity 01-Sep-18 15-Oct-18 01-Dec-17 15-Dec-16 15-Oct-20 30-Apr-18 30-Apr-20 30-Oct-17 15-Dec-18 01-Aug-18 15-Oct-18 14-Dec-16 20-Oct-15 01-Mar-18 01-Feb-18 15-Nov-17 01-Apr-18 01-Dec-17 01-May-20 01-May-18 01-Oct-20 15-Oct-20 15-Nov-15 01-Sep-18 15-Aug-18 15-Aug-20 18-Aug-15 17-Nov-17 15-Mar-18 15-Oct-20 15-Oct-20 15-Dec-18 01-Jul-17 15-Jul-18 01-Nov-18 Ratings B2/BBB3/BBa3/BB+ B3/CCC+ Ba1/B+ B2/B B2/B B2/NR B2/BB2/BBa3/BBNR/B B1/B+ B3/BB2/B B3/BCaa1/CCC B1/B B1/BB+ B1/BB+ Caa1/B+ B1/B+ B3/BB1/NR Ba3/NR Ba3/NR Ba1/NR Ba1/NR B2/BB2/B+ B2/B+ Ba3/BBBa2/BB+ B2/B Ba3/BB
Proceeds ($ mn) 200.0 397.2 1,489.8 94.6 350.0 900.0 700.0 1,000.0 450.0 399.4 600.0 526.3 300.0 400.0 397.2 612.0 617.0 450.0 800.0 800.0 293.0 1,082.4 260.0 451.7 600.0 1,400.0 550.0 300.0 616.2 500.0 277.8 400.0 296.5 588.5 375.0
Sector Services Energy Industrials Paper and Packaging Financial Cable and Satellite Cable and Satellite Cable and Satellite Services Gaming Lodging and Leisure Chemicals Housing Housing Consumer Products Diversified Media Cable and Satellite Services Services Chemicals Chemicals Energy Energy Diversified Media Chemicals Energy Energy Metals and Mining Metals and Mining Telecommunications Telecommunications Telecommunications Broadcasting Energy Food and Beverages Paper and Packaging
Use of proceeds Refinancing Refinancing Refinancing General Corporate Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing General Corporate Refinancing General Corporate Refinancing Refinancing Refinancing Refinancing Refinancing Acquisition Finance Acquisition Finance Refinancing Refinancing Other Other Refinancing Refinancing General Corporate Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Acquisition Finance Acquisition Finance
Source: J.P. Morgan. A5
Sorted by issuer
Date 02-Dec 02-Dec 21-Apr 22-Nov 11-Jan 20-Sep 16-Nov 04-Feb 21-Oct 25-Mar 25-Mar 26-Jan 18-Mar 29-Apr 09-Dec 03-Mar 25-Mar 25-Mar 04-Aug 17-Nov 30-Mar 13-Sep 29-Apr 25-Jun 02-Feb 19-Jan 12-Aug 15-Apr 04-Aug 16-Nov 25-Jan 08-Apr 24-Sep 05-Nov 03-Feb
Issuer Clearwire Communications Clearwire Communications Cleaver-Brooks Clubcorp Club Operations CMS Energy CMS Energy CMS Energy CNG Holdings Inc CNG Holdings Inc CoffeyVille Resources CoffeyVille Resources Coleman Cable Coleman Cable Columbus International Concho Resources Conexant Systems Consol Energy Consol Energy Continental Airlines Continental Airlines Continental Resources Continental Resources Cooper Standard Corporacion Geo Corporacion Pescera Inco S.A.C Corporativo Javer SA CV Cott Beverages Country Garden Country Garden Covanta Energy Credit Acceptance Corp Credito Real SA Credito Real SA Cricket Communications Crosstex Energy LP
Amount ($ mn) 500.0 175.0 185.0 415.0 300.0 250.0 250.0 200.0 60.0 225.0 275.0 235.0 40.0 190.0 600.0 175.0 1,500.0 1,250.0 800.0 64.5 200.0 400.0 450.0 250.0 175.0 30.0 375.0 550.0 400.0 400.0 250.0 150.0 60.0 1,200.0 725.0 Security Sr Sec Nts (2nd) Sr Sec Nts (1st) Sr Sec Nts (1st) Sr Nts Sr Nts Sr Nts Sr Nts Sr Sec Nts Sr Sub Nts Sr Sec Nts (2nd) Sr Sec Nts (1st) Sr Nts Sr Nts Sr Sec Nts (1st) Sr Nts Sr Sec Nts (1st) Sr Nts Sr Nts Sr Sec Nts (1st) P-T Certs Sr Nts Sr Nts Sr Nts Sr Nts Sr Nts Sr Nts Sr Nts Sr Nts Sr Nts Sr Nts Sr Sec Nts (1st) Sr Nts Sr Nts Sr Nts Sr Nts Coupon % 12.000 12.000 12.250 10.000 6.250 4.250 5.050 12.250 13.750 10.875 9.000 9.000 9.000 11.500 7.000 11.250 8.000 8.250 6.750 6.000 7.375 7.125 8.500 9.250 9.000 13.000 8.125 11.250 10.500 7.250 9.125 10.250 10.250 7.750 8.875 Maturity 01-Dec-17 01-Dec-15 01-May-16 01-Dec-18 01-Feb-20 30-Sep-15 15-Feb-18 15-Feb-15 15-Aug-15 01-Apr-17 01-Apr-15 15-Feb-18 15-Feb-18 20-Nov-14 15-Jan-21 15-Mar-15 01-Apr-17 01-Apr-20 15-Sep-15 12-Jan-19 01-Oct-20 01-Apr-21 01-May-18 30-Jun-20 10-Feb-17 04-Aug-14 01-Sep-18 22-Apr-17 11-Aug-15 01-Dec-20 01-Feb-17 14-Apr-15 14-Apr-15 15-Oct-20 15-Feb-18 Ratings Caa2/CCC Caa1/CCC B2/B B3/B+ Ba1/BB+ Ba1/BB+ Ba1/BB+ B3/B NR/NR B3/BBBa3/BBB3/B B3/B B2/B B3/BB NR/NR B1/BB B1/BB Ba2/BBBa2/BBBB1/BB B1/BB B2/NR Ba3/BBB2/BBBa3/BBB3/B Ba3/BBBa3/BBBa3/B B1/BBNR/BBNR/BBB3/BB3/B+
Proceeds ($ mn) 500.0 184.1 185.0 393.3 298.3 249.7 249.5 190.0 56.4 222.3 273.7 231.7 39.7 190.0 600.0 173.4 1,500.0 1,250.0 791.5 64.5 198.2 400.0 450.0 246.0 173.9 30.0 375.0 546.7 396.2 400.0 243.8 150.0 60.0 1,179.9 709.8
Sector Telecommunications Telecommunications Industrials Gaming Lodging and Leisure Utility Utility Utility Financial Financial Energy Energy Industrials Industrials Cable and Satellite Energy Technology Metals and Mining Metals and Mining Transportation Transportation Energy Energy Automotive Housing Food and Beverages Housing Food and Beverages Housing Housing Services Financial Financial Financial Telecommunications Energy
Use of proceeds General Corporate General Corporate Refinancing Refinancing General Corporate Refinancing Refinancing Refinancing Unknown Refinancing Refinancing Refinancing Refinancing General Corporate Refinancing Refinancing Acquisition Finance Acquisition Finance Refinancing Unknown Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Acquisition Finance Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing
A6
Sorted by issuer
Date 19-Mar 03-Dec 19-May 05-Oct 05-Oct 05-Aug 09-Dec 03-Feb 16-Mar 09-Aug 10-Aug 16-Mar 02-Dec 06-Oct 12-Apr 14-Jan 05-Oct 27-May 15-Nov 08-Sep 29-Jun 24-Feb 25-Mar 21-Jun 16-Nov 16-Nov 11-Aug 18-Nov 07-Jan 15-Sep 03-Dec 05-Aug 25-Jun 22-Jul 26-Feb
Issuer Da-Lite Screen Company Darling International Dave & Busters Davita Inc Davita Inc DCP Corp Dean Foods Denbury Resources Developers Diversified Realty Developers Diversified Realty Diamond Resorts Digicel Limited Digicel Limited DineEquity Inc Discover Bank DJO Finance DJO Finance Drivetime Auto & Accept Dunkin Finance Duquense Light DynCorp International Eastman Kodak Co El Paso Pipeline Partners El Paso Pipeline Partners El Paso Pipeline Partners Operating El Paso Pipeline Partners Operating Elan Fin Plc Endo Pharmaceuticals Holding Energy Future Holdings Energy Transfer Energy XXI Gulf EnergySolutions Entertainment Properties Trust Entravision Communication Equinix Inc
Amount ($ mn) 105.0 250.0 200.0 775.0 775.0 500.0 400.0 1,000.0 300.0 300.0 425.0 775.0 300.0 825.0 500.0 100.0 300.0 200.0 625.0 450.0 455.0 500.0 425.0 110.0 375.0 375.0 200.0 400.0 500.0 1,800.0 750.0 300.0 250.0 400.0 750.0 Security Sr Nts Guar Nts Sr Nts Sr Nts Sr Nts Sr Sec Nts (1st) Sr Nts Sr Sub Nts Sr Unsec Nts Sr Nts Sr Sec Nts Sr Nts Sr Nts Sr Nts Sr Sub Nts Sr Nts Sr Sub Nts Sr Sec Nts Sr Nts Sr Nts Sr Nts Sr Sec Nts (2nd) Guar Nts Sr Nts Sr Nts Sr Nts Guar Nts Sr Nts Sr Sec Nts (1st) Sr Nts Guar Nts Guar Nts Sr Nts Sr Sec Nts (1st) Sr Nts Coupon % 12.500 8.500 11.000 6.625 6.375 10.750 9.750 8.250 7.500 7.875 12.000 10.500 8.250 9.500 7.000 10.875 9.750 12.625 9.625 6.400 10.375 9.750 6.500 6.500 4.100 7.500 8.750 7.000 10.000 7.500 9.250 10.750 7.750 8.750 8.125 Maturity 01-Apr-15 15-Dec-18 01-Jun-18 01-Nov-20 01-Nov-18 15-Aug-15 15-Dec-18 15-Feb-20 01-Apr-17 01-Sep-20 15-Aug-18 15-Apr-18 01-Sep-17 30-Oct-18 15-Apr-20 15-Nov-14 15-Oct-17 15-Jun-17 01-Dec-18 15-Sep-20 01-Jul-17 01-Mar-18 01-Apr-20 01-Apr-20 15-Nov-15 15-Nov-40 15-Oct-16 15-Dec-20 15-Jan-20 15-Oct-20 15-Dec-17 15-Aug-18 15-Jul-20 01-Aug-17 01-Mar-18 Ratings B1/B B2/B B3/BB2/B B2/B B2/B+ B2/BB1/BB Baa3/BB Baa3/BB B3/BCaa1/CCC+ B1/NR B3/CCC+ Ba1/BBBB3/BCaa1/CCC+ B3/B Caa2/CCC+ Ba1/BBBB1/B Ba3/BBa1/BB Ba1/BB Ba1/BB Ba1/BB B2/B Ba2/BB+ Caa3/B+ Ba2/BBNR/NR B3/BBBaa3/BB+ B1/B Ba2/B+
Proceeds ($ mn) 102.2 250.0 200.0 775.0 775.0 495.3 400.0 1,000.0 300.0 297.4 414.4 775.0 308.3 825.0 496.5 105.0 300.0 197.7 615.6 446.7 455.0 489.8 425.0 110.0 374.7 372.5 192.0 396.4 500.0 1,800.0 750.0 296.1 245.7 394.9 750.0
Sector Consumer Products Food and Beverages Food and Beverages Healthcare Healthcare Broadcasting Food and Beverages Energy Financial Financial Gaming Lodging and Leisure Telecommunications Telecommunications Food and Beverages Financial Healthcare Healthcare Automotive Food and Beverages Utility Industrials Consumer Products Energy Energy Energy Energy Healthcare Healthcare Utility Energy Energy Services Financial Broadcasting Technology
Use of proceeds Refinancing Acquisition Finance Acquisition Finance Refinancing Refinancing Refinancing Refinancing Acquisition Finance Refinancing Refinancing Refinancing Acquisition Finance General Corporate Refinancing General Corporate Refinancing Refinancing Refinancing Refinancing Refinancing Acquisition Finance Refinancing Acquisition Finance Acquisition Finance Acquisition Finance Acquisition Finance Refinancing Acquisition Finance General Corporate Refinancing Acquisition Finance Refinancing Refinancing Refinancing General Corporate
A7
Sorted by issuer
Date 22-Jan 19-Jul 21-Jan 19-Apr 23-Sep 10-Sep 22-Sep 02-Aug 02-Mar 18-Nov 26-Jan 05-May 31-Mar 09-Nov 05-Aug 29-Apr 08-Jul 08-Jul 11-Aug 26-Oct 10-Dec 10-Dec 14-Jan 06-Apr 28-Jul 14-Sep 06-Aug 04-Nov 30-Mar 09-Feb 07-Apr 22-Sep 26-Mar 26-Mar 26-Mar
Issuer Equinox Holdings Esterline Technologies Evergrande Real Estate Evergrande Real Estate Evertec Inc Exco Resources Exopac Holding Expedia Inc Express LLC Exterran Holding Fage Dairy Industry Fantasia Holding Group Ferrellgas Partners Ferrellgas Partners Ferro Corp Fibria Overseas Fidelity National Information Services Fidelity National Information Services First Data Corp FMG Resources FMG Resources FMG Resources Ford Motor Credit Ford Motor Credit Ford Motor Credit Ford Motor Credit Foresight Energy Frac Tech Services Freedom Group Freescale Semiconductor Freescale Semiconductor Freescale Semiconductor Frontier Communications Frontier Communications Frontier Communications
Amount ($ mn) 425.0 250.0 750.0 600.0 220.0 750.0 100.0 750.0 250.0 350.0 150.0 120.0 280.0 500.0 250.0 750.0 600.0 500.0 510.0 2,040.0 900.0 600.0 500.0 1,750.0 1,250.0 1,000.0 400.0 550.0 225.0 750.0 1,380.0 750.0 500.0 1,100.0 1,100.0 Security Coupon % Sr Sec Nts (2nd) 9.500 Sr Nts 7.000 Sr Sec Nts (1st) 13.000 Guar Nts 13.000 Sr Nts 11.000 Sr Nts 7.500 Sr Nts 11.250 Guar Nts 5.950 Sr Nts 8.750 Guar Nts 7.250 Sr Nts 9.875 Sr Nts 14.000 Sr Unsec Nts 8.625 Sr Nts 6.500 Sr Nts 7.875 Sr Nts 7.500 Sr Nts 7.625 Sr Nts 7.875 Sr Sec Nts (1st) 8.875 Sr Nts 7.000 Sr Nts 6.875 Sr Nts 6.375 Sr Nts 8.125 Sr Nts 7.000 Sr Nts 6.625 Sr Nts 5.625 Sr Nts 9.625 Sr Nts 7.125 Sr Nts (PIK/Cash) 11.250 Sr Sec Nts (1st) 10.125 Sr Sec Nts (1st) 9.250 Sr Nts 10.750 Sr Nts 7.875 Sr Nts 8.250 Sr Nts 8.500 Maturity 01-Feb-16 01-Aug-20 27-Jan-15 27-Jan-15 01-Oct-18 15-Sep-18 01-Feb-14 15-Aug-20 01-Mar-18 01-Dec-18 01-Feb-20 12-May-15 15-Jun-20 01-May-21 15-Aug-18 04-May-20 15-Jul-17 15-Jul-20 15-Aug-20 01-Nov-15 01-Feb-18 01-Feb-16 15-Jan-20 15-Apr-15 15-Aug-17 15-Sep-15 15-Aug-17 15-Nov-18 01-Oct-15 15-Mar-18 15-Apr-18 01-Aug-20 15-Apr-15 15-Apr-17 15-Apr-20 Ratings B1/B Ba3/BB B1/BBB1/BBCaa1/BB3/B NR/NR Ba1/BBBB3/B Ba3/BB B3/BB2/B+ B2/BBa3/B+ B2/B B1/B Ba2/BBBa2/BBB1/B+ B1/B B1/B B1/B B3/BB1/B+ Ba3/BBa3/B+ Caa1/B B2/B+ B3/BB2/NR B2/BCaa2/CCC Ba2/BB Ba2/BB Ba2/BB
Proceeds ($ mn) 420.2 250.0 750.0 600.0 220.0 739.0 101.7 749.2 246.5 350.0 139.9 117.9 280.0 500.0 250.0 743.5 600.0 500.0 501.8 2,040.0 900.0 600.0 500.0 1,740.9 1,231.1 994.7 397.5 550.0 220.5 750.0 1,380.0 750.0 500.0 1,100.0 1,100.0
Sector Gaming Lodging and Leisure Industrials Housing Housing Technology Energy Paper and Packaging Services Retail Energy Food and Beverages Housing Energy Energy Chemicals Paper and Packaging Financial Financial Technology Metals and Mining Metals and Mining Metals and Mining Automotive Automotive Automotive Automotive Utility Energy Consumer Products Technology Technology Technology Telecommunications Telecommunications Telecommunications
Use of proceeds Refinancing Refinancing General Corporate Unknown Acquisition Finance Refinancing Refinancing General Corporate Refinancing Refinancing Refinancing General Corporate Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing General Corporate General Corporate General Corporate General Corporate General Corporate General Corporate Refinancing Refinancing Other Refinancing Refinancing Refinancing Acquisition Finance Acquisition Finance Acquisition Finance
A8
Sorted by issuer
Date 26-Mar 09-Nov 16-Sep 22-Sep 22-Sep 08-Mar 12-Nov 20-Sep 20-Sep 12-Aug 01-Oct 27-Oct 13-Jan 18-Nov 29-Jan 10-Nov 22-Apr 19-Oct 09-Feb 10-Mar 23-Mar 13-Jul 10-Aug 20-Aug 16-Sep 15-Sep 21-Apr 30-Mar 30-Mar 08-Jan 04-Nov 20-Oct 01-Oct 05-Nov 13-Apr
Issuer Frontier Communications Frontier Oil FTI Consulting Gannett Co Gannett Co Garda World Security Genesis Energy LP GenOn Energy GenOn Energy Gentiva Health Geoeye Inc Georgia Pacific Gibson Energy Giraffe Acquisition Corp Glatfelter Global Crossing Global Geophysical Glorious Property GMAC GMAC GMAC Gol Finance GoodYear Tire & Rubber GoodYear Tire & Rubber Graham Packaging Graphic Packaging Gray Television Great Wolf Finance Grupo Papelero Scribe Grupo Posadas SAB CV Hanesbrands Hanger Orthopedic Hapag-Lloyd Harbinger Group Harrah's Operating
Amount ($ mn) 500.0 150.0 400.0 250.0 250.0 250.0 250.0 675.0 550.0 325.0 125.0 1,250.0 200.0 400.0 100.0 150.0 200.0 300.0 2,000.0 1,500.0 400.0 300.0 900.0 100.0 250.0 250.0 365.0 230.0 300.0 200.0 1,000.0 200.0 250.0 350.0 750.0 Security Sr Nts Guar Nts Sr Nts Sr Nts Sr Nts Sr Unsec Nts Sr Nts Sr Nts Sr Nts Sr Nts Sr Sec Nts (2nd) Sr Nts Sr Nts Sr Nts Sr Nts Sr Nts Guar Nts Sr Nts Sr Nts Guar Nts Sr Nts Sr Nts Sr Nts Guar Nts Sr Nts Sr Nts Sr Sec Nts (2nd) 1st Mtg Nts Guar Nts Guar Nts Sr Nts Sr Nts Sr Nts Sr Sec Nts (1st) Sr Sec Nts (2nd) Coupon % 8.750 6.875 6.750 6.375 7.125 9.750 7.875 9.500 9.875 11.500 8.625 5.400 10.000 9.125 7.125 9.000 10.500 13.000 8.300 8.000 8.000 9.250 8.250 8.250 8.250 7.875 10.500 10.875 8.875 9.250 6.375 7.125 9.750 10.625 12.750 Maturity 15-Apr-22 15-Nov-18 01-Oct-20 01-Sep-15 01-Sep-18 15-Mar-17 15-Dec-18 15-Oct-18 15-Oct-20 01-Sep-18 01-Oct-16 01-Nov-20 15-Jan-18 01-Dec-18 01-May-16 15-Nov-19 01-May-17 25-Oct-15 12-Feb-15 15-Mar-20 15-Mar-20 20-Jul-20 15-Aug-20 15-Aug-20 01-Oct-18 01-Oct-18 29-Jun-15 01-Apr-17 07-Apr-20 15-Jan-15 15-Dec-20 15-Nov-18 15-Oct-17 15-Nov-15 15-Apr-18 Ratings Ba2/BB Ba3/BB Ba2/BB Baa3/BB Baa3/BB B3/B B3/B+ B3/B B3/B B2/BB3/BBa2/BBB B3/BCaa1/BBa2/BB+ Caa2/CCC+ B3/B B2/B B3/B B3/B B3/B NR/B+ B1/B+ B1/B+ Caa1/BB3/B Caa2/CCC B3/BBBa3/BBB2/B+ B1/BBB3/B B3/B Caa1/NR Ca/CCC
Proceeds ($ mn) 500.0 150.0 400.0 247.4 246.3 245.4 250.0 665.7 537.2 325.0 125.0 1,242.7 194.7 400.0 95.0 150.0 194.0 300.0 1,984.0 1,474.8 393.3 295.2 892.5 100.8 250.0 250.0 358.0 219.3 300.0 198.0 1,000.0 200.0 248.4 345.1 740.9
Sector Telecommunications Energy Services Diversified Media Diversified Media Services Energy Utility Utility Healthcare Cable and Satellite Paper and Packaging Energy Retail Paper and Packaging Telecommunications Energy Housing Financial Financial Financial Transportation Automotive Automotive Paper and Packaging Paper and Packaging Broadcasting Gaming Lodging and Leisure Paper and Packaging Gaming Lodging and Leisure Consumer Products Healthcare Transportation Financial Gaming Lodging and Leisure
Use of proceeds Acquisition Finance Refinancing Refinancing Refinancing Refinancing General Corporate Acquisition Finance Acquisition Finance Acquisition Finance Acquisition Finance General Corporate General Corporate General Corporate Acquisition Finance Acquisition Finance Refinancing Refinancing General Corporate General Corporate General Corporate General Corporate Refinancing Refinancing Refinancing Acquisition Finance Acquisition Finance Refinancing Refinancing Refinancing General Corporate Refinancing Refinancing Refinancing General Corporate Refinancing
A9
Sorted by issuer
Date 24-Sep 02-Mar 10-Nov 28-Sep 28-Sep 16-Sep 20-Sep 06-Dec 14-Jan 27-Oct 28-Oct 03-Feb 07-Oct 18-May 05-Mar 19-Oct 12-Mar 14-Sep 28-Oct 12-Jan 12-Jan 08-Nov 08-Nov 04-Oct 19-Feb 22-Jul 05-May 13-Sep 30-Jun 06-Aug 09-Apr 16-Sep 20-Jul 18-Nov 04-Nov
Issuer Harvest Operation HCA Inc HCA Inc Healthsouth Corp Healthsouth Corp Hertz Corp Hertz Corp Hertz Corp Hexion Hexion Hidili Industry Hilcorp Energy Hilcorp Energy Hillman Group Holly Energy Partners Host Hotels & Resorts Huntsman International Huntsman International Huntsman International Icahn Enterprises LP Icahn Enterprises LP Icahn Enterprises LP Icahn Enterprises LP Icon Health & Fitness IMS Health Indosat Palapa Ineos Finance Inergy LP Insight Communications Insight Communications Integra Telecom Intelsat Jackson Interactive Data Interface Inc Interline Brands
Amount ($ mn) 500.0 1,400.0 1,525.0 250.0 275.0 300.0 400.0 500.0 1,000.0 440.0 400.0 300.0 350.0 150.0 150.0 500.0 350.0 350.0 180.0 850.0 1,150.0 300.0 200.0 205.0 1,000.0 650.0 570.0 600.0 400.0 95.0 475.0 1,000.0 700.0 275.0 300.0 Security Guar Nts Sr Sec Nts (1st) Sr Nts Guar Nts Guar Nts Sr Nts Guar Nts Guar Nts Sr Sec Nts Sr Sec Nts (2nd) Sr Nts Sr Nts Sr Nts Guar Nts Sr Unsec Nts Sr Nts Sr Sub Nts Sr Sub Nts Sr Sub Nts Sr Nts Sr Nts Sr Nts Sr Nts Sr Sec Nts (2nd) Sr Nts Sr Nts Sr Sec Nts (1st) Sr Nts Sr Nts Sr Nts Sr Sec Nts (1st) Sr Nts Guar Nts Sr Nts Sr Nts Coupon % 6.875 7.250 7.750 7.750 7.250 7.500 7.500 7.375 8.875 9.000 8.625 8.000 7.625 10.875 8.250 6.000 8.625 8.625 8.625 7.750 8.000 8.000 7.750 11.875 12.500 7.375 9.000 7.000 9.375 9.375 10.750 7.250 10.250 7.625 7.000 Maturity 01-Oct-17 15-Sep-20 15-May-21 15-Sep-22 01-Oct-18 15-Oct-18 15-Oct-18 15-Jan-21 01-Feb-18 15-Nov-20 04-Nov-15 15-Feb-20 15-Apr-21 01-Jun-18 15-Mar-18 01-Nov-20 15-Mar-20 15-Mar-21 15-Mar-21 15-Jan-16 15-Jan-18 15-Jan-18 15-Jan-16 15-Oct-16 01-Mar-18 29-Jul-20 15-May-15 01-Oct-18 15-Jul-18 15-Jul-18 15-Apr-16 15-Oct-20 01-Aug-18 01-Dec-18 15-Nov-18 Ratings Ba1/BBBa3/BB Caa1/BB2/B+ B2/B+ B2/CCC+ B2/CCC+ B2/CCC+ B3/CCC+ Caa1/CCC Ba1/BBB2/BBB2/BBB3/CCC+ B1/B+ NR/BB+ B3/CCC+ B3/BB3/BBa3/BBBBa3/BBBBa3/BBBBa3/BBBB2/B B3/B Ba1/BB B2/BBa3/B+ B3/BB3/BB2/CCC+ B3/B+ Caa1/BB2/B+ B2/BB-
Proceeds ($ mn) 496.6 1,387.3 1,525.0 250.0 275.0 300.0 400.0 500.0 993.0 440.0 400.0 295.0 350.0 150.0 150.0 500.0 350.0 350.0 194.4 845.0 1,141.7 310.5 206.5 203.9 1,000.0 646.6 570.0 600.0 400.0 100.5 475.0 1,000.0 700.0 275.0 300.0
Sector Energy Healthcare Healthcare Healthcare Healthcare Automotive Automotive Automotive Chemicals Chemicals Metals and Mining Energy Energy Industrials Energy Gaming Lodging and Leisure Chemicals Chemicals Chemicals Financial Financial Financial Financial Consumer Products Healthcare Financial Chemicals Energy Cable and Satellite Cable and Satellite Telecommunications Cable and Satellite Services Housing Industrials
Use of proceeds Refinancing Refinancing Other Refinancing Refinancing Acquisition Finance Acquisition Finance Refinancing Refinancing Refinancing Refinancing Refinancing General Corporate Acquisition Finance Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing General Corporate General Corporate Refinancing Refinancing Refinancing Refinancing Acquisition Finance Refinancing Refinancing Refinancing Refinancing Acquisition Finance Refinancing Refinancing
A10
Sorted by issuer
Date 11-Mar 17-Mar 17-Mar 30-Mar 30-Mar 11-Aug 11-Aug 11-Aug 11-Aug 02-Dec 20-Apr 28-Jul 25-Mar 28-Oct 14-Jan 02-Nov 23-Jul 10-Sep 18-May 14-Oct 21-Apr 07-Jan 21-Apr 06-Dec 12-May 11-Aug 08-Apr 17-Aug 23-Apr 04-May 23-Mar 23-Mar 27-Apr 05-Jan 28-Apr
Issuer International Coal International Lease Finance International Lease Finance International Lease Finance International Lease Finance International Lease Finance International Lease Finance International Lease Finance International Lease Finance International Lease Finance International Wire Group inVentiv Health ITC Deltacom Inc Jabil Circuit Jarden Corp Jarden Corp JBS Finance II JBS Finance II JC Penney JSC Severstal Kaisa Group Kansas City Southern DE Mexico Kemet Corp Kinder Morgan Kratos Defense & Security KWG Property Lamar Media Corp Landry's Holding Landry's Restaurant Lantheus Medical Imaging Lear Corp Lear Corp Lennar Corp Level 3 Financing Levi Strauss
Amount ($ mn) 200.0 1,000.0 1,000.0 250.0 500.0 1,275.0 1,275.0 1,350.0 500.0 1,000.0 140.0 275.0 325.0 400.0 275.0 300.0 700.0 200.0 400.0 1,000.0 350.0 300.0 230.0 750.0 225.0 250.0 400.0 110.0 47.0 250.0 350.0 350.0 250.0 640.0 525.0 Security Sr Sec Nts Sr Nts Sr Nts Sr Nts Sr Nts Sr Sec Nts (1st) Sr Sec Nts (1st) Sr Sec Nts (1st) Sr Nts Sr Nts Sr Sec Nts (2nd) Sr Nts Sr Sec Nts (1st) Sr Nts Sr Sub Nts Sr Nts Guar Nts Sr Nts Sr Nts Nts Guar Nts Sr Nts Sr Nts Sr Sec Nts (1st) Sr Sec Nts (1st) Sr Nts Sr Sub Nts Sr Sec Nts (1st) Sr Sec Nts (2nd) Sr Nts Sr Nts Sr Nts Sr Nts Sr Nts Sr Nts Coupon % 9.125 8.625 8.750 8.625 8.750 6.750 7.125 6.500 8.875 8.250 9.750 10.000 10.500 5.625 7.500 6.125 8.250 8.250 5.650 6.700 13.500 8.000 10.500 6.000 10.000 12.500 7.875 11.500 11.625 9.750 8.125 7.875 6.950 10.000 7.625 Maturity 01-Apr-18 15-Sep-15 15-Mar-17 15-Sep-15 15-Mar-17 01-Sep-16 01-Sep-18 01-Sep-14 01-Sep-17 15-Dec-20 15-Apr-15 15-Aug-18 01-Apr-16 15-Dec-20 15-Jan-20 15-Nov-22 29-Jan-18 29-Jan-18 01-Jun-20 25-Oct-17 28-Apr-15 01-Feb-18 01-May-18 15-Jan-18 01-Jun-17 18-Aug-17 15-Apr-18 01-Jun-14 01-Dec-15 15-May-17 15-Mar-20 15-Mar-18 01-Jun-18 01-Feb-18 15-May-20 Ratings Caa1/BBB1/BB+ B1/BB+ B1/BB+ B1/BB+ Ba3/BBBBa3/BBBBa3/BBBB1/BB+ B1/BB+ B3/B Caa1/BB3/BBa1/BB+ B3/B Ba3/BBB1/BB B1/BB Ba1/BB+ Ba3/BBB2/B+ B2/B+ B1/B Ba1/BB B2/B+ B1/B+ B1/NR NR/NR B3/B B2/B+ B1/BB+ B1/BBB3/BBCaa1/CCC B2/B+
Proceeds ($ mn) 198.6 984.1 974.7 252.5 503.8 1,274.9 1,274.9 1,350.0 496.8 991.6 138.7 275.0 318.0 400.0 272.6 300.0 690.4 204.1 398.9 1,000.0 350.0 295.7 227.0 749.9 225.0 250.0 400.0 99.0 49.8 250.0 347.1 347.5 247.3 627.1 525.0
Sector Metals and Mining Financial Financial Financial Financial Financial Financial Financial Financial Financial Industrials Diversified Media Telecommunications Technology Consumer Products Consumer Products Food and Beverages Food and Beverages Retail Metals and Mining Housing Transportation Technology Energy Industrials Housing Broadcasting Food and Beverages Food and Beverages Healthcare Automotive Automotive Housing Telecommunications Consumer Products
Use of proceeds Refinancing General Corporate General Corporate Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing General Corporate Refinancing Acquisition Finance Refinancing Refinancing Refinancing General Corporate Refinancing Refinancing General Corporate Unknown Refinancing Refinancing Refinancing Refinancing Acquisition Finance General Corporate Refinancing Acquisition Finance Acquisition Finance Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing
A11
Sorted by issuer
Date 28-Jan 23-Sep 11-Feb 11-Feb 11-Feb 09-Dec 09-Dec 20-Sep 20-Apr 07-Apr 30-Mar 08-Sep 22-Jan 22-Apr 24-Mar 28-Oct 06-Apr 25-Mar 22-Jan 03-Feb 13-Oct 08-Apr 29-Apr 04-Aug 04-Aug 19-Oct 12-Jan 23-Mar 05-Mar 31-Mar 12-May 08-Feb
Issuer Libbey Glass Inc Liberty Tire Recycling Life Technologies Life Technologies Life Technologies Life Technologies Life Technologies LifePoint Hospital Limited Brands Lin Television Linn Energy Linn Energy Listrindo Capital Live Nation Entertainment Lyondell Petrochemical M/I Homes Inc Magnachip Semiconductor Magnesita Refratarios Manchester United Manitowoc Company Manitowoc Company Mantech International CP Marfrig Overseas Marina District Finance Marina District Finance Markwest Energy Marquette Transportation Martin Midstream Partners Masco Corp Maxim Crane Works MCE Finance McJunkin Red Man
Amount ($ mn) 400.0 200.0 750.0 500.0 250.0 400.0 400.0 400.0 400.0 200.0 1,300.0 1,000.0 300.0 250.0 2,250.0 200.0 250.0 400.0 425.0 400.0 600.0 200.0 500.0 400.0 400.0 500.0 250.0 200.0 500.0 250.0 600.0 50.0 Security Sr Sec Nts Sr Nts Sr Nts Sr Nts Sr Nts Sr Nts Sr Nts Guar Nts Guar Nts Sr Nts Sr Unsec Nts Guar Nts Guar Nts Sr Unsec Nts Sr Sec Nts (1st) Sr Nts Sr Nts Guar Nts Sr Sec Nts (1st) Sr Unsec Nts Sr Nts Sr Nts Guar Nts Sr Sec Nts (1st) Sr Sec Nts (1st) Sr Nts Sr Sec Nts (2nd) Sr Nts Sr Unsec Nts Sr Sec Nts (2nd) Sr Nts Sr Sec Nts (1st) Coupon % 10.000 11.000 6.000 4.400 3.500 3.500 5.000 6.625 7.000 8.375 8.625 7.750 9.250 8.125 8.000 8.625 10.500 7.875 8.375 9.500 8.500 7.250 9.500 9.875 9.500 6.750 10.875 8.875 7.125 12.250 10.250 9.500 Maturity 15-Feb-15 01-Oct-16 01-Mar-20 01-Mar-15 01-Mar-13 15-Jan-16 15-Jan-21 01-Oct-20 01-May-20 15-Apr-18 15-Apr-20 01-Feb-21 29-Jan-15 15-May-18 01-Nov-17 15-Nov-18 15-Apr-18 30-Mar-20 01-Feb-17 15-Feb-18 01-Nov-20 15-Apr-18 04-May-20 15-Aug-18 15-Oct-15 01-Nov-20 15-Jan-17 01-Apr-18 15-Mar-20 15-Apr-15 15-May-18 15-Dec-16 Ratings B2/B B3/B Ba1/BBBBa1/BBBBa1/BBBBa1/BBB Ba1/BBB Ba1/BBBa1/BB Ba3/B+ B3/B B2/B Ba2/BBB1/B Ba3/NR Caa1/BB2/B+ B1/BBNR/NR Caa1/BBB3/B+ Ba2/BB+ B1/B+ B2/BB B2/BB B1/BBB3/BB3/B+ Ba2/BBBCaa1/B B1/B+ B3/B
Proceeds ($ mn) 392.3 197.9 748.5 498.3 249.9 399.4 398.2 400.0 400.0 200.0 1,268.2 982.6 297.3 250.0 2,250.0 197.2 246.7 396.6 416.8 400.0 595.0 200.0 492.1 397.3 395.8 500.0 247.0 197.2 500.0 243.2 592.0 48.8
Issuance Yield % Spread 10.500 809bp 11.250 960bp 6.030 232bp 4.470 210bp 3.390 200bp 3.534 165bp 5.056 185bp 6.625 392bp 7.000 320bp 8.375 483bp 9.000 512bp 8.000 505bp 9.500 746bp 8.125 470bp 8.000 477bp 8.875 622bp 10.750 708bp 8.000 413bp 8.750 568bp 9.500 609bp 8.625 620bp 7.250 372bp 9.750 578bp 10.000 752bp 9.750 815bp 6.750 428bp 11.125 795bp 9.125 583bp 7.125 343bp 13.000 1044bp 10.500 727bp 10.000 712bp
Sector Consumer Products Industrials Healthcare Healthcare Healthcare Healthcare Healthcare Healthcare Retail Broadcasting Energy Energy Utility Gaming Lodging and Leisure Chemicals Housing Technology Housing Gaming Lodging and Leisure Industrials Industrials Industrials Food and Beverages Gaming Lodging and Leisure Gaming Lodging and Leisure Energy Transportation Energy Housing Services Gaming Lodging and Leisure Energy
Use of proceeds Refinancing Refinancing Refinancing Refinancing Refinancing General Corporate General Corporate Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing
A12
Sorted by issuer
Date 11-May 09-Nov 05-Feb 10-Nov 19-Apr 06-Apr 07-Sep 05-Nov 09-Mar 25-Oct 22-Jun 07-Oct 31-Mar 22-Jan 10-Nov 27-Oct 19-Aug 12-Aug 15-Apr 30-Nov 12-May 12-May 30-Jul 09-Nov 02-Dec 09-Dec 23-Mar 06-Oct 22-Sep 01-Apr 13-Aug 01-Nov 20-Jan 08-Apr 09-Feb
Issuer MDC Communications MedAssets Inc Media General Mercer International Merge Healthcare Meritage Homes MetroPCS Wireless MetroPCS Wireless MGM Mirage MGM Resorts Michael Foods Michaels Stores Midwest Gaming Minerva Overseas Mobile Mini Momentive Performance Mueller Water Products Multiplan Inc Murray Energy Murray Energy Mylan Mylan Mylan Mylan NAI Entertainment Holding Nalco Nationstar Mortgage LLC Navios Maritime NBTY Inc NES Rental Holdings New Enterprise Stone & Lime New York Times Newfield Exploration Nexstar Broadcasting NFR Energy
Amount ($ mn) 65.0 325.0 300.0 300.0 200.0 200.0 1,000.0 1,000.0 845.0 500.0 430.0 800.0 175.0 250.0 200.0 635.0 225.0 675.0 40.0 150.0 550.0 700.0 300.0 800.0 400.0 750.0 250.0 400.0 650.0 150.0 250.0 225.0 700.0 325.0 200.0 Security Guar Nts Sr Nts Sr Sec Nts (1st) Sr Nts Sr Sec Nts (1st) Sr Unsec Nts Sr Nts Sr Nts Sr Sec Nts Sr Nts Sr Nts Sr Nts Sr Sec Nts (2nd) Guar Nts Sr Nts Sr Nts Sr Nts Sr Nts Sr Sec Nts (2nd) Sr Sec Nts (2nd) Sr Nts Sr Nts Sr Nts Sr Nts Sr Sec Nts (1st) Sr Nts Sr Nts 1st Mtg Nts Guar Nts Sr Sec Nts (2nd) Sr Nts Sr Nts Sr Sub Nts Sr Sec Nts Sr Nts Coupon % 11.000 8.000 11.750 9.500 11.750 7.150 7.875 6.625 9.000 10.000 9.750 7.750 11.625 10.875 7.875 9.000 8.750 9.875 10.250 10.250 7.625 7.875 7.875 6.000 8.250 6.625 10.875 8.625 9.000 12.250 11.000 6.625 6.875 8.875 9.750 Maturity 01-Nov-16 15-Nov-18 15-Feb-17 01-Dec-17 15-May-15 15-Apr-20 01-Sep-18 15-Nov-20 15-Mar-20 01-Nov-16 15-Jul-18 01-Nov-18 15-Apr-16 15-Nov-19 01-Dec-20 15-Jan-21 01-Sep-20 01-Sep-18 15-Oct-15 15-Oct-15 15-Jul-17 15-Jul-20 15-Jul-20 15-Nov-18 15-Dec-17 15-Jan-19 01-Apr-15 01-Nov-17 01-Oct-18 15-Apr-15 01-Sep-18 15-Dec-16 01-Feb-20 15-Apr-17 15-Feb-17 Ratings B2/B+ B3/BB2/B B3/B B2/B+ B1/B+ B2/B B2/B B1/B Caa1/CCC+ Caa1/BCaa1/CCC Caa1/B B3/BB2/B+ Caa1/CCC B1/B+ Caa1/CCC+ Caa1/B+ B3/B B1/BBB1/BBB1/BBNR/NR B1/BB Ba2/BBB2/B B2/B B3/B Caa2/CCC+ Caa1/B+ B1/B+ Ba3/BB+ B3/BCaa1/B
Proceeds ($ mn) 67.6 325.0 293.1 300.0 194.5 195.1 992.8 1,000.0 845.0 494.5 430.0 794.1 173.1 245.3 200.0 635.0 221.3 675.0 41.0 154.5 549.8 699.8 316.5 787.6 400.0 750.0 243.0 400.0 650.0 148.6 250.0 225.0 693.8 322.9 197.5
Sector Diversified Media Healthcare Diversified Media Paper and Packaging Healthcare Housing Telecommunications Telecommunications Gaming Lodging and Leisure Gaming Lodging and Leisure Food and Beverages Retail Gaming Lodging and Leisure Food and Beverages Services Chemicals Industrials Healthcare Metals and Mining Metals and Mining Healthcare Healthcare Healthcare Healthcare Gaming Lodging and Leisure Chemicals Financial Transportation Retail Services Housing Diversified Media Energy Broadcasting Energy
Use of proceeds General Corporate Acquisition Finance Refinancing Refinancing Acquisition Finance Refinancing Refinancing Refinancing Refinancing Refinancing Acquisition Finance Refinancing General Corporate Refinancing Refinancing Refinancing Refinancing Acquisition Finance Refinancing General Corporate Refinancing Refinancing Acquisition Finance Refinancing Refinancing Refinancing Refinancing Refinancing Acquisition Finance Refinancing Refinancing General Corporate Refinancing Refinancing Refinancing
A13
Sorted by issuer
Date 09-Apr 30-Sep 29-Oct 26-Feb 18-Nov 22-Nov 04-Nov 10-Dec 10-Dec 17-Aug 17-Nov 13-Jul 04-Feb 29-Sep 09-Nov 13-May 22-Oct 06-May 11-Aug 11-Aug 26-Feb 26-Feb 24-Mar 09-Jul 29-Oct 19-Nov 07-Jan 30-Apr 11-Mar 09-Apr 28-Apr 11-Aug 22-Apr 29-Apr 19-Nov
Issuer NFR Energy Nielsen Finance Nielsen Finance Niska Gas Storage Nortek Inc Northern Tier Energy Norwegian Cruise Lines Corp. Novelis Novelis NRG Energy NV Energy Inc NXP Funding Omega Healthcare Investors Omega Healthcare Investors Omega Healthcare Investors Omnicare Inc OmnOVA Solutions Oncure Medical Opti Canada Opti Canada OshKosh Corp OshKosh Corp Overseas Shipholding Group OXEA Finance/CY SCA Pacnet Ltd Paetec Escrow Paetec Holding Corp Pan American Energy Parker Drilling Patheon Inc Patriot Coal Peabody Energy Penn Virginia Penson Worldwide Petco Animal Supplies
Amount ($ mn) 150.0 750.0 330.0 800.0 250.0 290.0 250.0 1,400.0 1,100.0 1,100.0 315.0 1,000.0 200.0 225.0 350.0 400.0 250.0 210.0 300.0 100.0 250.0 250.0 300.0 260.0 300.0 450.0 300.0 500.0 300.0 280.0 250.0 650.0 300.0 200.0 500.0 Security Sr Nts Sr Nts Guar Nts Sr Unsec Nts Sr Nts Sr Sec Nts (1st) Sr Nts Sr Nts Sr Nts Guar Nts Sr Nts Sr Sec Nts (1st) Sr Nts Sr Nts Sr Nts Sr Sub Nts Sr Nts Sr Sec Nts (1st) Sr Sec Nts (1st) Sr Sec Nts (1st) Guar Nts Guar Nts Sr Unsec Nts Sr Sec Nts (1st) Sr Sec Nts (1st) Sr Nts Sr Sec Nts (1st) Guar Nts Sr Nts Sr Sec Nts (1st) Sr Nts Guar Nts Guar Nts Sr Sec Nts (2nd) Guar Nts Coupon % 9.750 7.750 7.750 8.875 10.000 10.500 9.500 8.750 8.375 8.250 6.250 9.750 7.500 6.750 6.750 7.750 7.875 11.750 9.750 9.000 8.500 8.250 8.125 9.500 9.250 9.875 8.875 7.875 9.125 8.625 8.250 6.500 8.250 12.500 9.250 Maturity 15-Feb-17 15-Oct-18 15-Oct-18 15-Mar-18 01-Dec-18 01-Dec-17 15-Nov-18 15-Dec-20 15-Dec-17 01-Sep-20 15-Nov-20 01-Aug-18 15-Feb-20 15-Oct-22 15-Oct-22 01-Jun-20 01-Nov-18 15-May-17 15-Aug-13 15-Dec-12 01-Mar-20 01-Mar-17 30-Mar-18 15-Jul-17 09-Nov-15 01-Dec-18 30-Jun-17 07-May-21 01-Apr-18 15-Apr-17 30-Apr-18 15-Sep-20 15-Apr-18 15-May-17 01-Dec-18 Ratings Caa1/B Caa1/B Caa1/B B1/BBCaa2/CCC+ B1/BBCaa1/B B2/B B2/B B1/BBBa3/BB Caa1/CCC+ Ba3/BB+ Ba2/BB+ Ba2/BB+ Ba2/BB B2/BB2/B B3/B B2/B B3/BB3/BBa3/BBB2/B+ B1/NR Caa1/CCC+ B1/B Ba2/NR B1/B+ B1/B+ B3/B+ Ba1/BB+ B2/B B1/BBCaa1/CCC+
Proceeds ($ mn) 148.1 744.5 339.9 800.0 250.0 290.0 250.0 1,400.0 1,100.0 1,100.0 315.0 1,000.0 196.6 222.7 360.5 399.9 250.0 206.3 289.5 97.0 250.0 250.0 295.7 260.0 300.0 435.0 301.6 491.0 300.0 280.0 248.2 650.0 300.0 200.0 500.0
Sector Energy Diversified Media Diversified Media Energy Housing Energy Gaming Lodging and Leisure Metals and Mining Metals and Mining Utility Utility Technology Healthcare Healthcare Healthcare Healthcare Chemicals Healthcare Energy Energy Industrials Industrials Transportation Chemicals Telecommunications Telecommunications Telecommunications Energy Energy Healthcare Metals and Mining Metals and Mining Metals and Mining Financial Retail
Use of proceeds Refinancing Refinancing Refinancing Refinancing General Corporate Acquisition Finance Refinancing Refinancing Refinancing General Corporate Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Acquisition Finance Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Acquisition Finance Refinancing General Corporate Refinancing Refinancing General Corporate Refinancing Refinancing Refinancing Refinancing
A14
Sorted by issuer
Date 03-Aug 12-Aug 31-Mar 06-Aug 16-Sep 28-Jun 23-Apr 09-Dec 21-Sep 29-Apr 10-Aug 04-Mar 24-Mar 11-Feb 06-Jan 13-Sep 10-Nov 07-Jul 09-Sep 10-Nov 10-Mar 22-Oct 03-Aug 03-Aug 16-Sep 29-Mar 01-Dec 11-Aug 01-Nov 17-Mar 17-Mar 07-Jan 17-Sep 09-Apr 31-Mar
Issuer Petrohawk Energy Petroquest Energy Pharmanet Development PHH Corp PHI Inc Phibro Animal Health Phillips-Van Heusen Pilgrim's Pride Pinafore Inc (Tomkins) Pinnacle Entertainment Pinnacle Food Finance Pioneer Drilling Plains Exploration & Production PlastiPak Holdings Ply Gem Industries Inc Polyone Corp Polypore International Postmedia Network (Canwest) PowerLong Real Estate Precision Drilling Prestige Brands Prestige Brands Pride International Pride International ProQuest LLC Provident Funding Associates Puget Energy QEP Resources Quality Distribution QVC Inc QVC Inc QWest Communications International RAAM Global Energy Radiation Therapy Inc Radnet Inc
Amount ($ mn) 825.0 150.0 185.0 350.0 300.0 275.0 600.0 500.0 1,150.0 350.0 400.0 250.0 300.0 50.0 150.0 360.0 365.0 275.0 200.0 650.0 150.0 100.0 900.0 300.0 275.0 400.0 450.0 625.0 225.0 500.0 500.0 800.0 150.0 310.0 200.0 Security Guar Nts Sr Nts Sr Sec Nts (1st) Sr Nts Sr Nts Sr Nts Sr Nts Guar Nts Sr Sec Nts (2nd) Sr Sub Nts Guar Nts Sr Nts Sr Unsec Nts Sr Nts Sr Sub Nts Sr Nts Sr Nts Sr Sec Nts (2nd) Sr Nts Sr Nts Sr Nts Sr Nts Sr Nts Sr Nts Guar Nts Sr Sec Nts (1st) Sr Sec Nts Sr Nts Sr Sec Nts (2nd) Sr Sec Nts (1st) Sr Sec Nts (1st) Sr Nts Sr Sec Nts (1st) Sr Sub Nts Sr Nts Coupon % 7.250 10.000 10.875 9.250 8.625 9.250 7.375 7.875 9.000 8.750 8.250 9.875 7.625 10.625 13.125 7.375 7.500 12.500 13.750 6.625 8.250 8.250 6.875 7.875 9.000 10.250 6.500 6.875 9.875 7.125 7.375 7.125 12.500 9.875 10.375 Maturity 15-Aug-18 01-Sep-17 15-Apr-17 01-Mar-16 15-Oct-18 01-Jul-18 15-May-20 15-Dec-18 01-Oct-18 15-May-20 01-Sep-17 15-Mar-18 01-Apr-20 15-Aug-19 15-Jul-14 15-Sep-20 15-Nov-17 15-Jul-18 16-Sep-15 15-Nov-20 01-Apr-18 01-Apr-18 15-Aug-20 15-Aug-40 15-Oct-18 15-Apr-17 15-Dec-20 01-Mar-21 01-Nov-18 15-Apr-17 15-Oct-20 01-Apr-18 01-Oct-15 15-Apr-17 01-Apr-18 Ratings B3/B+ Caa1/B B3/B+ Ba2/BB+ B2/B+ B3/B B2/BB B3/BBB1/B+ Caa1/B B3/CCC+ B3/B B1/BBB3/B Caa3/NR Ba3/B+ B3/BB3/B B1/B+ Ba2/BB+ B3/B+ B3/B Ba1/BBBBa1/BBBB3/B Ba3/B+ Ba2/BB+ Ba1/BB+ Caa1/BBa2/BB+ Ba2/BB+ Ba3/B+ Caa2/B Caa1/CCC+ Caa1/CCC+
Proceeds ($ mn) 825.0 150.0 185.0 350.0 300.0 271.2 600.0 496.4 1,150.0 350.0 400.0 239.4 300.0 54.5 145.7 360.0 365.0 268.3 200.0 650.0 147.8 102.0 900.0 300.0 275.0 400.0 450.0 619.2 223.5 500.0 500.0 787.5 148.6 308.1 197.4
Sector Energy Energy Healthcare Services Energy Chemicals Consumer Products Food and Beverages Industrials Gaming Lodging and Leisure Food and Beverages Energy Energy Paper and Packaging Housing Chemicals Industrials Diversified Media Housing Energy Consumer Products Consumer Products Energy Energy Diversified Media Financial Utility Energy Transportation Retail Retail Telecommunications Energy Healthcare Healthcare
Use of proceeds Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Acquisition Finance Refinancing Acquisition Finance Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Other General Corporate Refinancing Refinancing Acquisition Finance General Corporate General Corporate Refinancing Refinancing General Corporate Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing
A15
Sorted by issuer
Date 23-Nov 29-Jul 21-Apr 24-Feb 02-Feb 11-Mar 26-Feb 10-Aug 13-Oct 13-May 02-Sep 08-Nov 28-Oct 28-Apr 06-Oct 06-Oct 22-Sep 09-Aug 14-Sep 27-Sep 17-Mar 17-Mar 17-Mar 08-Nov 12-Apr 29-Sep 26-Jan 15-Apr 09-Feb 22-Oct 08-Sep 11-Jan 30-Sep 29-Apr 08-Dec
Issuer Rain CII Carbon Range Resources RBS Global & Rexnord RDS Ultra-Deepwater Ltd Readers' Digest Association Reckson Operating Partnership Reddy Ice Corp Regal Entertainment Regency Energy Renhe Commerical Holdings Renhe Commerical Holdings Renhe Commerical Holdings Rent-A-Center Reynolds Group Reynolds Group Reynolds Group Rhodia SA Rite Aid Corp Road King Infrastructure Roadhouse Finance Rockies Express Pipeline LLC Rockies Express Pipeline LLC Rockies Express Pipeline LLC Roofing Supply Group Rosetta Resource Rotech Healthcare Ryerson Holding Corp Ryland Group Sable International Finance Sabra Health Care LP Scientific Games Scotts Miracle-Gro Company Seadrill Ltd Seagate HDD Cayman Seagate HDD Cayman
Amount ($ mn) 400.0 500.0 1,145.0 270.0 525.0 250.0 300.0 275.0 600.0 300.0 300.0 300.0 300.0 1,000.0 1,500.0 1,500.0 400.0 650.0 350.0 355.0 450.0 750.0 500.0 225.0 200.0 230.0 483.0 300.0 500.0 250.0 250.0 200.0 350.0 600.0 750.0 Security Coupon % Sr Sec Nts (1st) 8.000 Sr Sub Nts 6.750 Sr Nts 8.500 Sr Sec Nts (2nd) 11.875 Sr Sec FRN (1st) 3mL+650 Sr Nts 7.750 Sr Sec Nts (1st) 11.250 Sr Nts 9.125 Guar Nts 6.875 Sr Nts 11.750 Sr Sec Nts 13.000 Sr Sec Nts 13.000 Sr Nts 6.625 Sr Nts 8.500 Sr Sec Nts (1st) 7.125 Sr Nts 9.000 Sr Nts 6.875 Sr Sec Nts (1st) 8.000 Sr Nts 9.500 Sr Sec Nts (2nd) 10.750 Sr Nts 3.900 Sr Nts 5.625 Sr Nts 6.875 Sr Sec Nts (1st) 8.625 Sr Unsec Nts 9.500 Sr Sec Nts (1st) 10.750 Sr Disc Nts 0/14.5 Sr Nts 6.625 Sr Sec Nts (1st) 7.750 Sr Nts 8.125 Sr Sub Nts 8.125 Sr Nts 7.250 Sr Nts 6.500 Sr Unsec Nts 6.875 Guar Nts 7.750 Maturity 01-Dec-18 01-Aug-20 01-May-18 15-Mar-17 15-Feb-17 16-Mar-20 15-Mar-15 15-Aug-18 01-Dec-18 18-May-15 10-Mar-16 10-Mar-16 15-Nov-20 15-May-18 15-Apr-19 15-Apr-19 15-Sep-20 15-Aug-20 21-Sep-15 15-Oct-17 15-Apr-15 15-Apr-20 15-Apr-40 01-Dec-17 15-Apr-18 15-Oct-15 01-Feb-15 01-May-20 15-Feb-17 01-Nov-18 15-Sep-18 15-Jan-18 05-Oct-15 01-May-20 15-Dec-18 Ratings B1/BBBa3/BB Caa1/BB3/BB1/B Ba2/BB+ B1/BB3/BB1/B+ Ba2/BB Ba2/BB Ba2/BB Ba3/BBCaa1/BBa3/BB Caa1/B B1/BB B3/B+ Ba3/BBB2/BBa1/BBB Ba1/BBB Ba1/BBB B2/B+ Caa1/B+ B1/B+ Caa3/CCC Ba3/BBBa2/BBB2/B B1/BBB1/B+ NR/NR Ba3/B+ Ba1/BB+
Proceeds ($ mn) 400.0 500.0 1,145.0 262.3 509.3 250.0 300.0 275.0 600.0 297.2 300.0 300.0 300.0 1,000.0 1,500.0 1,500.0 400.0 650.0 350.0 355.0 449.7 749.3 499.2 225.0 200.0 223.5 220.2 300.0 500.0 250.0 250.0 198.5 350.0 600.0 750.0
Issuance Yield % Spread 8.000 526bp 6.750 375bp 8.500 509bp 12.500 1016bp na na 7.750 402bp 11.250 896bp 9.125 676bp 6.875 485bp 12.000 974bp 13.000 1126bp 13.000 1150bp 6.625 396bp 8.500 509bp 7.125 497bp 9.000 684bp 6.875 433bp 8.000 518bp 9.500 801bp 10.750 886bp 3.913 155bp 5.636 200bp 6.888 232bp 8.625 686bp 9.500 598bp 11.500 1022bp 16.320 1398bp 6.625 279bp 7.750 468bp 8.125 606bp 8.125 586bp 7.375 381bp 6.500 500bp 6.875 312bp 7.750 451bp
Sector Chemicals Energy Industrials Energy Diversified Media Financial Food and Beverages Gaming Lodging and Leisure Energy Housing Housing Housing Retail Paper and Packaging Paper and Packaging Paper and Packaging Chemicals Retail Housing Food and Beverages Energy Energy Energy Housing Energy Healthcare Metals and Mining Housing Telecommunications Financial Gaming Lodging and Leisure Consumer Products Energy Technology Technology
Use of proceeds Refinancing Refinancing Refinancing General Corporate Refinancing Refinancing Refinancing Refinancing Refinancing General Corporate General Corporate General Corporate Refinancing Acquisition Finance Acquisition Finance Acquisition Finance Refinancing Refinancing Refinancing Acquisition Finance Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Other Refinancing Refinancing Refinancing Refinancing Refinancing General Corporate Refinancing General Corporate
A16
Sorted by issuer
Date 30-Sep 03-Nov 08-Nov 06-Apr 17-Nov 08-Feb 27-Jul 29-Oct 21-Sep 14-Oct 12-Mar 16-Mar 21-May 17-Mar 02-Mar 09-Mar 14-Jan 28-Apr 04-Nov 04-Jun 15-Nov 10-Aug 01-Apr 09-Feb 21-Apr 07-Dec 07-Dec 15-Apr 10-Nov 12-Nov 04-Aug 11-Mar 12-Jan 12-Nov 24-Sep
Issuer Sears Holding Seminole Tribe of Florida Seneca Gaming Senior Housing Service Corp International Severstal Columbus Shimao Property Simmons Foods Sinclair Television Sino-Forest Corp Sirius XM Radio Sitel Inc Skillsoft SLM Corp Solutia Inc Sonic Automotive Sorenson Communications Inc Southern States Spansion Spectrum Brands Spirit Aerosystem SPX Corp Square Two Financial Corp Stallion Oilfield Standard Pacific Corp Standard Pacific Corp Standard Pacific Corp Standard Steel Star Gas Partner Stater Brothers STATS ChipPAC Steel Dynamics Stone Energy Corp Stone Energy Corp Stoneridge Inc
Amount ($ mn) 1,000.0 330.0 325.0 200.0 250.0 525.0 500.0 265.0 250.0 600.0 800.0 300.0 310.0 1,500.0 300.0 210.0 735.0 130.0 200.0 750.0 300.0 600.0 290.0 225.0 300.0 275.0 400.0 140.0 125.0 255.0 600.0 350.0 275.0 100.0 175.0 Security Sr Sec Nts Sr Nts Sr Nts Sr Unsec Nts Sr Nts Sr Sec Nts (1st) Sr Nts Sr Sec Nts (2nd) Sr Nts Guar Nts Sr Nts Sr Unsec Nts Sr Nts Sr Nts Sr Nts Sr Sub Nts Sr Sec Nts (2nd) Sr Nts Sr Nts Sr Sec Nts (1st) Guar Nts Guar Nts Sr Sec Nts (2nd) Sr Sec Nts Guar Nts Sr Nts Sr Nts Sr Sec Nts (1st) Sr Nts Sr Nts Guar Nts Sr Nts Sr Nts Sr Nts Sr Sec Nts (1st) Coupon % 6.625 7.750 8.250 6.750 7.000 10.250 9.650 10.500 8.375 6.250 8.750 11.500 11.125 8.000 7.875 9.000 10.500 11.250 7.875 9.500 6.750 6.875 11.625 10.500 8.375 8.375 8.375 12.000 8.875 7.375 7.500 7.625 8.625 8.625 9.500 Maturity 15-Oct-18 01-Oct-17 01-Dec-18 15-Apr-20 15-May-19 15-Feb-18 03-Aug-17 01-Nov-17 15-Oct-18 21-Oct-17 01-Apr-15 01-Apr-18 01-Jun-18 25-Mar-20 15-Mar-20 15-Mar-18 01-Feb-15 15-May-15 15-Nov-17 15-Jun-18 15-Dec-20 01-Sep-17 01-Apr-17 15-Feb-15 15-May-18 15-May-18 15-Jan-21 01-May-15 01-Dec-17 15-Nov-18 12-Aug-15 15-Mar-20 01-Feb-17 01-Feb-17 15-Oct-17 Ratings Ba1/BB+ Ba1/BBBB1/BB Ba1/BBBB1/BBB3/B B1/BBB3/BB2/BBa2/BB Caa2/BCaa2/BCaa1/BBa1/BBBB2/B+ Caa1/BNR/CCC+ B3/B+ NR/B B2/B Ba3/BBBa2/BB+ B2/NR B3/BB3/BB3/B B3/B Caa1/B B2/BB2/B+ Ba1/BB+ Ba2/BB+ Caa1/BBCaa1/B B3/B+
Proceeds ($ mn) 1,000.0 330.0 325.0 197.9 250.0 514.5 500.0 265.0 246.4 600.0 800.0 292.4 308.0 1,474.8 298.5 208.5 721.0 126.4 200.0 739.8 300.0 600.0 285.0 222.9 300.0 281.2 396.6 135.0 124.2 255.0 600.0 350.0 271.5 100.5 175.0
Sector Retail Gaming Lodging and Leisure Gaming Lodging and Leisure Healthcare Services Metals and Mining Housing Food and Beverages Broadcasting Paper and Packaging Cable and Satellite Services Technology Financial Chemicals Automotive Services Food and Beverages Technology Consumer Products Industrials Industrials Financial Energy Housing Housing Housing Metals and Mining Energy Retail Technology Metals and Mining Energy Energy Automotive
Use of proceeds Refinancing General Corporate Refinancing Refinancing Refinancing Refinancing Refinancing Acquisition Finance Refinancing General Corporate Refinancing Refinancing Acquisition Finance General Corporate Refinancing Refinancing Other Refinancing Refinancing Acquisition Finance Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing General Corporate Refinancing
A17
Sorted by issuer
Date 01-Apr 10-Mar 01-Nov 01-Nov 30-Apr 27-Apr 10-Aug 15-Jan 22-Apr 16-Sep 10-Aug 03-Aug 29-Jul 09-Dec 23-Apr 08-Nov 15-Oct 27-Jul 04-Feb 17-Nov 23-Apr 22-Sep 16-Jun 09-Feb 13-Aug 16-Aug 29-Sep 10-Jun 01-Dec 12-Aug 19-Feb 03-Aug 09-Dec 08-Jun 15-Oct
Issuer Stratus Technologies Inc Suburban Propane Partners Sungard Data System Sungard Data System Susser Holding & Finance Syncreon Global Targa Resources Partners Teekay Corp Telcordia Technologies Telemovil Finance Tembec Industries Tenet Healthcare Tenneco Tenneco Terremark Worldwide Terremark Worldwide Texas Competitive Electric Holding Texas Industries The McClatchy Company Thermadyne Holdings Thermon Industries Titan International Inc TitleMax Finance Tops Markets Tower Automotive Toys R US TPC Group LLC Trans Union Transdigm Travelport Treehouse Foods Inc Trilogy International Partners Trinidad Drilling Triumph Group Tutor Perini Corp
Amount ($ mn) 215.0 250.0 700.0 900.0 425.0 300.0 250.0 450.0 350.0 450.0 255.0 600.0 225.0 500.0 50.0 75.0 350.0 650.0 875.0 260.0 210.0 200.0 250.0 75.0 430.0 350.0 350.0 645.0 1,550.0 250.0 400.0 370.0 450.0 350.0 300.0 Security Sr Sec Nts (1st) Sr Nts Sr Nts Sr Nts Sr Nts Sr Nts Guar Nts Sr Nts Sr Sec Nts (2nd) Guar Nts Sr Sec Nts (1st) Sr Nts Sr Nts Guar Nts Sr Sec Nts (1st) Sr Sec Nts (2nd) Sr Sec Nts (2nd) Sr Nts Sr Sec Nts (1st) Sr Sec Nts (1st) Sr Sec Nts (1st) Sr Sec Nts (1st) Sr Sec Nts Sr Sec Nts Sr Sec Nts Sr Sec Nts (2nd) Sr Sec Nts (1st) Sr Nts Sr Sub Nts Guar Nts Sr Unsec Nts Sr Sec Nts (1st) Sr Nts Sr Nts Guar Nts Coupon % 12.000 7.375 7.625 7.375 8.500 9.500 7.875 8.500 11.000 8.000 11.250 8.000 7.750 6.875 12.000 9.500 15.000 9.250 11.500 9.000 9.500 7.875 13.250 10.125 10.625 7.375 8.250 11.375 7.750 9.000 7.750 10.250 7.875 8.625 7.625 Maturity 29-Mar-15 15-Mar-20 15-Nov-20 15-Nov-18 15-May-16 01-May-18 15-Oct-18 15-Jan-20 01-May-18 01-Oct-17 15-Dec-18 01-Aug-20 15-Aug-18 15-Dec-20 15-Jun-17 15-Nov-13 01-Apr-21 15-Aug-20 15-Feb-17 15-Dec-17 01-May-17 01-Oct-17 15-Jul-15 15-Oct-15 01-Sep-17 01-Sep-16 01-Oct-17 15-Jun-18 15-Dec-18 01-Mar-16 01-Mar-18 15-Aug-16 15-Jan-19 15-Jul-18 01-Nov-18 Ratings B2/B+ Ba3/BBCaa1/B Caa1/B B2/B+ B3/B B1/B+ B1/BB Caa2/CCC+ B1/BB B3/BCaa1/CCC+ B2/B B2/B+ B1/BNR/NR Caa2/CCC B3/B B1/BB3/BB1/B+ B1/B+ NR/B+ B3/B B1/B B1/BBB1/B+ B3/BB3/BB3/CCC+ Ba2/BBCaa1/CCC+ B2/BBBa3/B+ Ba3/BB-
Proceeds ($ mn) 207.3 247.8 700.0 900.0 420.1 300.0 250.0 446.3 350.0 444.1 251.7 600.0 225.0 500.0 56.0 74.3 350.0 650.0 864.7 260.0 210.0 200.0 247.7 76.1 417.2 350.0 347.7 645.0 1,550.0 250.0 400.0 365.9 446.6 347.4 297.8
Sector Technology Energy Technology Technology Retail Services Energy Transportation Technology Telecommunications Paper and Packaging Healthcare Automotive Automotive Technology Technology Utility Housing Diversified Media Industrials Industrials Industrials Financial Retail Automotive Retail Chemicals Services Industrials Services Food and Beverages Telecommunications Energy Industrials Industrials
Use of proceeds Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing General Corporate Refinancing Refinancing Refinancing Acquisition Finance Acquisition Finance Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Acquisition Finance Acquisition Finance Refinancing Acquisition Finance Refinancing Refinancing Acquisition Finance General Corporate
A18
Sorted by issuer
Date 04-Mar 11-Jan 11-Jan 21-Oct 15-Sep 18-Oct 09-Nov 13-Jan 16-Mar 04-Nov 06-Apr 21-Sep 21-Sep 18-Nov 07-Apr 20-Jan 29-Jun 26-Jul 15-Apr 30-Nov 12-Jan 27-Sep 29-Oct 13-Jan 17-Sep 28-Apr 30-Jul 12-Aug 24-Sep 30-Sep 09-Nov 20-Aug 09-Apr 21-Sep 18-Nov
Issuer TW Telecom Holdings United Air Lines United Air Lines United Rentals North America Universal Health Services Univision Communications Univision Communications Urbi Desarrollos Urbanos US Steel Corp USG Corp Valeant Pharmaceuticals Valeant Pharmaceuticals Valeant Pharmaceuticals Valeant Pharmaceuticals Valmont Industries Vanguard Health Holding Vanguard Health Holding Vantage Drilling Vector Group Vector Group Verso Paper Vertellus Specialties Viking Acquisition Virgin Media Finance Visant Corp Viskase Co Viterra Inc Warner Chilcott Warner Chilcott West Corp West Corp Western Alliance Western Express Whiting Petroleum Wind Acquisition
Amount ($ mn) 430.0 500.0 200.0 750.0 250.0 750.0 500.0 300.0 600.0 350.0 400.0 500.0 700.0 1,000.0 300.0 950.0 225.0 1,000.0 75.0 90.0 25.0 345.0 275.0 1,000.0 750.0 40.0 400.0 750.0 500.0 500.0 650.0 75.0 285.0 350.0 1,300.0 Security Sr Nts Sr Sec Nts (1st) Sr Sec Nts (2nd) Sr Sub Nts Sr Nts Sr Sec Nts (1st) Sr Nts Sr Nts Sr Nts Sr Nts Sr Unsec Nts Sr Nts Sr Nts Sr Nts Sr Nts Guar Nts Sr Nts Sr Sec Nts (1st) Guar Nts Sr Sec Nts Sr Sec Nts (1st) Sr Sec Nts Sr Nts Sr Sec Nts (1st) Sr Nts Sr Sec Nts (1st) Sr Nts Guar Nts Guar Nts Sr Nts Sr Nts Sr Nts Sr Sec Nts (1st) Sr Sub Nts Sr Sec Nts (1st) Coupon % 8.000 9.875 12.000 8.375 7.000 7.875 7.875 9.500 7.375 8.375 7.625 6.750 7.000 6.875 6.625 8.000 8.000 11.500 11.000 11.000 11.500 9.375 9.250 6.500 10.000 9.875 5.950 7.750 7.750 8.625 7.875 10.000 12.500 6.500 7.250 Maturity 01-Mar-18 01-Aug-13 01-Nov-13 15-Sep-20 01-Oct-18 01-Nov-20 15-Jan-19 21-Jan-20 01-Apr-20 15-Oct-18 15-Mar-20 01-Oct-17 01-Oct-20 01-Dec-18 20-Apr-20 01-Feb-18 01-Feb-18 01-Aug-15 15-Aug-15 15-Aug-15 01-Jul-14 01-Oct-15 01-Nov-18 15-Jan-18 01-Oct-17 15-Jan-18 01-Aug-20 15-Sep-18 15-Sep-18 01-Oct-18 15-Jan-19 01-Sep-15 15-Apr-15 01-Oct-18 15-Feb-18 Ratings B2/BB3/B+ Caa2/CCC Caa1/CCC+ B1/B+ B2/BB3/B Ba3/NR Ba2/BB B2/BB Ba3/BBB1/NR B1/NR B1/BBBa1/BBBB3/CCC+ B3/CCC+ B3/BNR/NR B1/B+ Ba2/B+ B1/B Caa1/CCC+ Ba2/BB Caa1/BB2/BBa1/BBBB3/B+ B3/B+ B3/B B3/B Ba3/NR Caa1/CCC+ Ba3/BB Ba2/BB-
Proceeds ($ mn) 426.9 496.3 190.6 750.0 250.0 750.0 500.0 295.3 594.8 350.0 400.0 497.5 695.6 992.4 300.0 936.3 216.6 963.6 75.8 92.7 27.4 345.0 275.0 984.9 750.0 40.4 397.9 750.0 510.0 500.0 650.0 73.9 270.0 350.0 1,291.2
Sector Telecommunications Transportation Transportation Services Healthcare Broadcasting Broadcasting Housing Metals and Mining Housing Healthcare Healthcare Healthcare Healthcare Industrials Healthcare Healthcare Energy Food and Beverages Food and Beverages Paper and Packaging Chemicals Consumer Products Cable and Satellite Consumer Products Food and Beverages Food and Beverages Healthcare Healthcare Services Services Financial Transportation Energy Telecommunications
Use of proceeds Refinancing General Corporate General Corporate Refinancing Acquisition Finance Refinancing General Corporate General Corporate General Corporate General Corporate Acquisition Finance Acquisition Finance Acquisition Finance Refinancing Acquisition Finance Refinancing Acquisition Finance Acquisition Finance General Corporate General Corporate General Corporate Refinancing Acquisition Finance Refinancing Refinancing General Corporate Refinancing Refinancing Acquisition Finance Refinancing Refinancing Unknown Refinancing Refinancing Refinancing
A19
Sorted by issuer
Date 12-Jul 22-Sep 14-May 22-Mar 22-Feb 15-Sep 21-Jul 13-Oct 26-Apr 08-Dec 05-Mar 14-Sep 298,007.4 296,179.4 Average: 8.749 8.847 629bp
Issuer Windstream Corp Windstream Corp Wireco WorldGroup Wyle Services Wyndham Worldwide Wyndham Worldwide Wynn Las Vegas XM Satellite Yanlord Land Group Yuzhou Properties Zayo Group LLC Zayo Group LLC
Amount ($ mn) 400.0 500.0 275.0 175.0 250.0 250.0 1,320.0 700.0 300.0 200.0 250.0 100.0 Security Sr Nts Sr Nts Sr Nts Sr Sub Nts Sr Nts Sr Nts 1st Mtg Nts Sr Nts Sr Nts Sr Nts Sr Sec Nts (1st) Sr Sec Nts (1st) Coupon % 8.125 7.750 9.500 10.500 7.375 5.750 7.750 7.625 9.500 13.500 10.250 10.250 Maturity 01-Sep-18 15-Oct-20 15-May-17 01-Apr-18 01-Mar-20 01-Feb-18 15-Aug-20 01-Nov-18 04-May-17 15-Dec-15 15-Mar-17 15-Mar-17 Ratings Ba3/B+ Ba3/B+ B3/B B3/B+ Ba1/BBBBa1/BBBBa3/BB+ B3/CCC+ Ba2/BB B2/B B2/BB2/B-
Proceeds ($ mn) 397.0 500.0 268.2 172.7 250.0 249.9 1,320.0 700.0 300.0 196.5 246.9 103.0
Issuance Yield % Spread 8.250 556bp 7.750 523bp 10.000 718bp 10.750 746bp 7.375 357bp 5.750 365bp 7.750 487bp 7.625 562bp 9.500 624bp 14.000 1161bp 10.500 739bp 9.620 753bp
Sector Telecommunications Telecommunications Industrials Industrials Gaming Lodging and Leisure Gaming Lodging and Leisure Gaming Lodging and Leisure Cable and Satellite Housing Housing Telecommunications Telecommunications
Use of proceeds Refinancing Acquisition Finance Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing General Corporate General Corporate Refinancing Acquisition Finance
Total:
A20
2010 non-US dollar new issues (through December 10, 2010)
Sorted by issuer
Date 23-Mar 25-Nov 13-Jan 30-Sep 30-Sep 07-Oct 07-Oct 02-Nov 03-Dec 21-Oct 15-Jul 06-Dec 21-Jul 14-Oct 28-Apr 22-Jul 09-Jul 02-Sep 27-Sep 27-Sep 21-Jul 22-Jul 23-Jul 29-Oct 25-Jun 18-Nov 15-Oct 07-Jul 09-Nov 13-Jan 14-Apr 01-Oct 25-Oct 12-Jan 12-Jan 22-Jun
Issuer Abengoa SA Alcatel-Lucent Ardagh Glass Ardagh Packaging Finance Ardagh Packaging Finance Auto-Teile-Unger Handels Auto-Teile-Unger Handels BAA (SH) plc (HoldCo Heathrow) Boardriders SA Bombardier Care UK Health & Social Care CEDC Finance Corp Cegedim CET 21 spol. s r.o. Cirsa Funding LX Codere Fin Luxembourg Conti-Gummi Finance Conti-Gummi Finance Conti-Gummi Finance Conti-Gummi Finance Crown Euro Holdings DFS Furniture Holdings DSG International EN Germany Holdings Europcar Europcar Exova Ltd FCE Bank FCE Bank FMC Finance GMAC International Finance Hapag-Lloyd Hapag-Lloyd HeidelbergCement AG HeidelbergCement AG HeidelbergCement AG
Currency EUR EUR EUR EUR EUR EUR EUR GBP EUR EUR GBP EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR GBP GBP EUR EUR EUR GBP EUR GBP EUR EUR EUR EUR EUR EUR EUR
Amount Proceeds ($ mn) ($ mn) 500.0 497.1 500.0 487.3 180.0 180.0 825.0 825.0 275.0 275.0 75.0 74.3 375.0 369.5 325.0 325.0 200.0 200.0 780.0 772.5 250.0 250.0 50.0 51.3 300.0 296.9 170.0 170.0 400.0 391.6 100.0 94.0 750.0 742.5 1,000.0 993.3 625.0 617.9 625.0 620.3 500.0 500.0 240.0 240.0 150.0 148.5 200.0 194.4 250.0 246.8 400.0 400.0 155.0 155.0 400.0 398.7 400.0 396.7 250.0 246.7 1,000.0 995.0 330.0 328.4 150.0 155.1 650.0 642.6 750.0 736.7 650.0 646.1 Maturity 31-Mar-16 15-Jan-16 01-Feb-20 15-Oct-17 15-Oct-20 15-May-14 15-May-14 01-Mar-17 15-Dec-17 15-May-21 01-Aug-17 01-Dec-16 27-Jul-15 01-Nov-17 15-May-18 15-Jun-15 15-Jul-15 15-Sep-17 05-Jan-16 15-Oct-18 15-Aug-18 15-Jul-17 03-Aug-15 15-Nov-15 31-Jul-17 15-Apr-18 15-Oct-18 15-Jul-13 16-Nov-15 15-Jul-16 21-Apr-15 15-Oct-15 15-Oct-15 03-Aug-15 03-Apr-20 15-Dec-15 Ratings NR/NR B1/B B3/B Ba3/BBB3/BBB3/BB3/BBa3/NR Ba3/B Ba2/BB+ B2/B+ B1/B+ NR/BB+ Ba3/B B3/B+ B2/B B1/B B1/NR B1/B B1/B Ba2/BB B1/B Ba3/NR B3/BB2/B+ Caa1/BB3/B NR/NR Ba2/BBBa2/BB+ B3/B B3/B B3/B B1/B+ B1/B+ B1/BB-
US$ Equiv. ($ mn) Security Coupon % 671.1 Nts 8.500 650.9 Sr Nts 8.500 261.2 Sr Nts 8.750 1,124.7 Sr Sec Nts 7.375 374.9 Guar Nts 9.250 103.4 Sr Sec FRN 6mE+ 975 514.6 Sr Sec Nts 11.000 521.3 Sr Sec Nts 7.125 268.3 Sr Nts 8.875 1,075.4 Sr Nts 6.125 386.6 Sr Sec Nts (1st) 9.750 68.3 Sr Sec Nts 8.875 378.7 Sr Nts 7.000 239.4 Sr Sec Nts (1st) 9.000 517.7 Guar Nts 8.750 121.2 Sr Sec Nts 8.250 938.6 Sr Sec Nts (1st) 8.500 1,273.9 Sr Sec Nts (1st) 7.500 831.3 Sr Sec Nts (1st) 6.500 834.5 Sr Sec Nts (1st) 7.125 637.7 Sr Nts 7.125 366.2 Guar Nts 9.750 229.1 Sr Nts 8.750 271.1 Sr Sec Nts (1st) 10.750 305.3 Sr Sec Nts 9.750 545.7 Sr Nts 9.375 247.9 Sr Nts 10.500 503.9 Sr Nts 7.250 634.0 Sr Nts 5.125 357.9 Sr Nts 5.500 1,358.5 Sr Nts 7.500 452.8 Sr Nts 9.000 216.6 Sr Nts 9.000 926.0 Sr Nts 6.500 1,061.6 Sr Nts 7.500 792.8 Sr Nts 6.750
Issuance Yield % Spread 8.750 642bp 9.125 738bp 8.750 545bp 7.375 550bp 9.250 698bp na na 11.500 1030bp 7.125 504bp 8.875 640bp 6.250 377bp 9.750 720bp 8.221 618bp 7.250 562bp 9.000 716bp 9.250 634bp 10.000 823bp 8.750 716bp 7.625 581bp 6.750 512bp 7.250 523bp 7.125 474bp 9.750 756bp 8.838 673bp 11.500 977bp 10.000 790bp 9.375 691bp 10.500 806bp 7.375 659bp 5.250 348bp 7.750 299bp 7.625 548bp 9.150 762bp 8.157 651bp 6.750 421bp 7.750 445bp 6.875 506bp
Sector Industrials Technology Paper and Packaging Paper and Packaging Paper and Packaging Automotive Automotive Transportation Consumer Products Industrials Healthcare Food and Beverages Healthcare Diversified Media Gaming Lodging and Leisure Gaming Lodging and Leisure Automotive Automotive Automotive Automotive Paper and Packaging Retail Retail Telecommunications Services Services Services Automotive Automotive Healthcare Financial Transportation Transportation Housing Housing Housing
Use of proceeds General Corporate Refinancing Refinancing Acquisition Finance Acquisition Finance Refinancing Refinancing Refinancing Refinancing Refinancing Acquisition Finance Refinancing Unknown Refinancing Unknown Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing General Corporate Refinancing Refinancing Refinancing General Corporate General Corporate Refinancing General Corporate Refinancing General Corporate Refinancing Refinancing General Corporate
Sorted by issuer
Date 25-Jun 16-Jul 05-May 30-Jul 06-May 09-Feb 05-Nov 25-Mar 14-Jan 22-Jan 12-Nov 26-Feb 28-Apr 24-Mar 22-Jan 02-Dec 24-Mar 27-Oct 09-Dec 15-Oct 20-Apr 17-May 02-Jul 14-Oct 16-Apr 10-Sep 09-Jul 11-Mar 21-Oct 21-Oct 09-Jul 22-Sep 03-Nov 10-Nov 30-Mar 28-Oct
Issuer Hertz Holdings Inaer Aviation Ineos Finance International Personal Finance International Power Finance InterXion Holding NV InterXion Holding NV ISS Holdings Jarden Corp Kerling PLC KUKA AG Ladbrokes Group Finance Plc Levi Strauss Lyondell Petrochemical Manchester United Mark IV Europe Matalan Finance Momentive Performance Nalco Nara Cable Funding New World Resources New World Resources Nordenia Holdings Novomatic AG Obrascon Huarte Lain OI European Group OXEA Finance/CY SCA Pernod-Ricard Peugeot Peugeot Phoenix PIB Finance Picard Bondco Pipe Holdings Polish Television Holdings Prysmian R&R Ice Cream
Currency EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR GBP EUR EUR GBP EUR GBP EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR GBP EUR EUR EUR
Amount Proceeds ($ mn) ($ mn) 400.0 397.9 470.0 464.1 300.0 300.0 225.0 225.0 250.0 248.3 200.0 200.0 60.0 63.9 127.5 126.5 150.0 147.4 785.0 780.2 202.0 200.7 225.0 225.0 300.0 300.0 375.0 375.0 250.0 245.2 200.0 200.0 225.0 225.0 150.0 150.0 200.0 200.0 700.0 700.0 475.0 475.0 500.0 500.0 280.0 276.5 150.0 149.7 700.0 700.0 500.0 500.0 300.0 300.0 1,200.0 1,196.9 500.0 495.8 500.0 496.6 506.2 500.0 400.0 400.0 150.0 150.0 260.0 253.5 400.0 398.7 350.0 350.0 Maturity 31-Jul-15 01-Aug-17 15-May-15 06-Aug-15 11-May-17 12-Feb-17 12-Feb-17 15-May-16 15-Jan-20 28-Jan-17 15-Nov-17 05-Mar-17 15-May-18 01-Nov-17 01-Feb-17 15-Dec-17 31-Mar-17 15-Jan-21 15-Jan-19 01-Dec-18 01-May-18 01-May-18 15-Jul-17 27-Oct-17 28-Apr-15 15-Sep-20 15-Jul-17 18-Mar-16 28-Oct-13 28-Oct-16 15-Jul-14 01-Oct-18 01-Nov-15 15-May-17 09-Apr-15 15-Nov-17 Ratings B1/B B2/B B2/BNR/NR Ba3/BB B2/BBB2/BBCaa1/B B3/B B3/BB3/BBa2/BB B2/B+ Ba3/NR NR/NR Ba3/BBBa3/NR Caa1/CCC Ba2/BBB2/BBa3/BBBa3/BBB2/B NR/NR Ba1/BBBa2/BB+ B2/B+ Ba1/BB+ Baa3/BB+ Baa3/BB+ B1/CCC B3/BNR/BNR/BNR/NR NR/NR
US$ Equiv. ($ mn) Security Coupon % 492.2 Sr Sec Nts 8.500 600.1 Sr Sec Nts (1st) 9.500 384.4 Sr Sec Nts (1st) 9.250 293.6 Sr Nts 11.500 313.3 Guar Nts 7.250 275.9 Sr Sec Nts 9.500 89.7 Sr Sec Nts 9.500 167.8 Sec Nts 8.875 213.8 Sr Sub Nts 7.500 1,103.1 Sr Sec Nts (1st) 10.625 274.8 Sr Sec Nts (2nd) 8.750 342.9 Guar Nts 7.625 396.6 Sr Nts 7.750 499.3 Sr Sec Nts (1st) 8.000 395.1 Sr Sec Nts (1st) 8.750 264.2 Sr Sec Nts (1st) 8.875 334.5 Nts 9.625 206.5 Sr Nts 9.500 264.8 Sr Nts 6.875 978.4 Sr Sec Nts (1st) 8.875 638.2 Sr Sec Nts 7.875 619.8 Sr Sec Nts 7.875 347.5 Sr Bds 9.750 210.8 Sr Notes 5.000 945.1 Nts 7.375 634.0 Sr Nts 6.750 379.2 Guar Nts 9.625 1,637.5 Nts 4.875 690.1 Sr Nts 4.000 691.3 Sr Nts 5.000 632.1 Sr Nts 9.625 536.2 Sr Nts 9.000 241.2 Sr Sec Nts (1st) 9.500 349.4 Sr Nts 11.000 534.7 Sr Nts 5.250 487.6 Sr Sec Nts (1st) 8.375
Issuance Yield % Spread 8.625 731bp 9.750 754bp 9.250 747bp 11.500 985bp 7.375 509bp 9.500 686bp 7.959 600bp 8.552 613bp 7.750 443bp 10.750 799bp 8.875 681bp 7.625 435bp 7.750 498bp 8.000 519bp 9.125 569bp 8.875 642bp 9.625 702bp 9.500 694bp 6.875 408bp 8.875 671bp 7.875 511bp 7.875 511bp 10.000 792bp 5.036 278bp 7.375 523bp 6.750 420bp 9.625 747bp 5.000 249bp 4.154 242bp 5.135 285bp 10.000 894bp 9.000 690bp 9.500 775bp 11.500 1019bp 5.326 316bp 8.375 624bp
Sector Automotive Transportation Chemicals Financial Utility Technology Technology Housing Consumer Products Chemicals Industrials Gaming Lodging and Leisure Consumer Products Financial Gaming Lodging and Leisure Automotive Financial Chemicals Chemicals Cable and Satellite Metals and Mining Metals and Mining Paper and Packaging Gaming Lodging and Leisure Services Paper and Packaging Chemicals Food and Beverages Automotive Automotive Healthcare Food and Beverages Metals and Mining Cable and Satellite Utility Food and Beverages
Use of proceeds Refinancing Refinancing Refinancing Refinancing General Corporate Refinancing General Corporate General Corporate Refinancing Acquisition Finance Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing General Corporate Refinancing Acquisition Finance Refinancing Unknown General Corporate General Corporate Refinancing Acquisition Finance Refinancing Refinancing Unknown Refinancing
Sorted by issuer
Date 18-Jun 11-Mar 24-Jun 13-Sep 08-Jan 29-Apr 22-Jan 01-Oct 22-Jun 11-Mar 07-Oct 07-Oct 08-Nov 26-Nov 29-Oct 14-May 30-Mar 20-Apr 09-Nov 05-Aug 13-Jan 13-Jan 20-Oct 25-Mar 18-Nov 27-Apr 21-Oct 39,606.5 39,356.6 53,755.6 Average: 8.057 8.256 593bp
Issuer Remy Cointreau Renault SA Renault SA Renault SA Rexel SA Rhodia SA SEAT Pagine Gialle SEAT Pagine Gialle SPCM SA Stena AB Sunrise Communications Sunrise Communications Sunrise Communications Taylor Wimpey Telenet Finance Luxembourg TMD Friction Finance Trafigura Beheer BV TVN Finance Corp TVN Finance Corp UPC Holding UPCB Finance (UPC Holding) Virgin Media Finance Wendel Wienerberger AG Wind Acquisition Ziggo Ziggo Finance
Currency EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR GBP EUR EUR EUR EUR EUR EUR EUR GBP EUR EUR EUR EUR EUR
Amount Proceeds ($ mn) ($ mn) 205.0 200.4 500.0 497.0 400.0 397.6 250.0 259.2 75.0 76.7 500.0 500.0 550.0 536.8 200.0 180.0 190.0 190.0 200.0 196.6 371.0 371.0 505.0 501.2 56.0 58.0 250.0 250.0 500.0 500.0 160.0 160.0 400.0 397.5 100.0 110.5 175.0 175.0 640.0 640.0 500.0 495.7 875.0 861.9 300.0 284.3 250.0 248.2 1,750.0 1,738.2 1,208.9 1,200.0 750.0 750.0 Maturity 15-Dec-16 22-Mar-17 30-Jun-15 30-Jun-15 15-Dec-16 15-May-18 31-Jan-17 31-Jan-17 15-Jun-17 15-Mar-20 31-Dec-17 31-Dec-18 31-Dec-18 31-Dec-15 15-Nov-20 15-May-17 08-Apr-15 15-Nov-17 15-Nov-18 15-Aug-20 15-Jan-20 15-Jan-18 26-May-16 07-Jul-14 15-Feb-18 15-May-18 15-Nov-17 Ratings Baa2/BBBa1/BB Ba1/BB Ba1/BB B1/B+ Ba3/BBB1/B+ B1/B+ B3/BBBa2/BB+ Ba3/BB B3/B B3/B B2/B+ Ba3/NR B3/NR NR/NR B1/B+ B1/NR B2/BBa3/B+ Ba2/BB NR/BBBa1/BB Ba2/BBB2/B Ba2/BB
US$ Equiv. ($ mn) Security Coupon % 248.2 Sr Nts 5.180 679.9 Sr Nts 5.625 490.3 Sr Nts 5.625 333.9 Nts 5.625 111.3 Sr Nts 8.250 661.7 Sr Nts 7.000 759.0 Sr Sec Nts (1st) 10.500 248.2 Sr Sec Nts (1st) 10.500 233.1 Sr Nts 8.250 269.0 Sr Nts 7.875 516.7 Sr Sec Nts 7.000 697.9 Sr Notes 8.500 80.7 Sr Sub Nts 8.500 389.8 Sr Nts 10.375 697.4 Sr Sec Nts (1st) 6.375 197.7 Sr Sec Nts (1st) 10.750 533.2 Sr Nts 6.375 148.5 Guar Nts 10.750 241.2 Sr Nts 7.875 844.1 Sr Nts 8.375 719.3 Sr Sec Nts 7.625 1,403.1 Sr Sec Nts (1st) 7.000 397.0 Sr Nts 4.875 329.4 Sr Nts 4.875 2,371.3 Sr Sec Nts (1st) 7.375 1,581.0 Sr Nts 8.000 1,044.0 Sr Sec Nts (1st) 6.125
Issuance Yield % Spread 5.600 357bp 5.734 307bp 5.769 426bp 5.625 335bp 7.750 490bp 7.000 418bp 11.000 825bp 12.870 1178bp 8.250 606bp 8.125 497bp 7.000 505bp 8.625 653bp 7.760 552bp 10.375 834bp 6.375 384bp 10.750 843bp 6.525 437bp 8.349 576bp 7.875 566bp 8.375 577bp 7.000 444bp 7.250 480bp 6.000 430bp 5.000 313bp 7.500 513bp 8.125 540bp 6.125 420bp
Sector Food and Beverages Automotive Automotive Automotive Utility Chemicals Diversified Media Diversified Media Chemicals Transportation Telecommunications Telecommunications Telecommunications Housing Telecommunications Retail Energy Cable and Satellite Cable and Satellite Cable and Satellite Financial Financial Industrials Housing Telecommunications Cable and Satellite Cable and Satellite
Use of proceeds Refinancing Unknown General Corporate General Corporate Refinancing Refinancing Refinancing General Corporate Refinancing Refinancing Acquisition Finance Acquisition Finance Acquisition Finance Refinancing Refinancing Refinancing General Corporate General Corporate Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing Refinancing
Total:
A23
Defaults
2010 US high-yield bond defaults

Company January Neenah Foundry Uno Restaurant Holdings Defaulted Debt : Number of Companies February Spheris Operating Defaulted Debt : Number of Companies March No defaults April US Concrete Defaulted Debt : Number of Companies May Neff Rental Defaulted Debt : Number of Companies June Network Communications Defaulted Debt : Number of Companies July Truvo USA LLC Defaulted Debt : Number of Companies August FGIC Corp Penhall International Defaulted Debt : Number of Companies September Blockbuster Defaulted Debt : Number of Companies October Angiotech Pharmaceuticals Loehman's Capital TerreStar Networks Wolverine Tube Defaulted Debt : Number of Companies
Debt ($ mn) 225.0 142.0 367.0 2
Default action Filed Chapter 11 Filed Chapter 11
Industry Metals and Mining Food and Beverages
125.0 125.0 1
Filed Chapter 11
Healthcare
0.0
272.6 272.6 1
Pre-packaged Chapter 11
Housing
34.3 34.3 1
Pre-packaged Chapter 11
Services
175.0 175.0 1
Grace experied
Diversified Media
200.0 200.0 1
Filed Chapter 11
Diversified Media
261.9 175.0 436.9 2
Filed Chapter 11 Missed Interest Payment
Financial Services
930.0 930.0 1
Filed Chapter 11
Retail
575.0 110.0 995.6 131.1 1,811.7 4
Missed interest payment Missed interest payment Filed Chapter 11 Filed Chapter 11
Healthcare Retail Cable and Satellite Industrials
A24
Defaults
2010 US high-yield bond defaults (continued)
Company November Ambac Financial Group American Media Operations Indianapolois Downs Local Insight Regatta Holdings Vertis Holdings Defaulted Debt : Number of Companies Total defaulted debt: Number of issuers: Default rate (Par-weighted): Default rate (Issuer-weighted):
C
Default action Filed Chapter 11 Pre-packaged Chapter 11 Missed interest payment Filed Chapter 11 Filed Chapter 11 Industry Financial Diversified Media Gaming Lodging and Leisure Diversified Media Diversified Media
Debt ($ mn) 1,247.2 387.3 447.6 210.5 736.1 3,028.8 5 7,381.3 19 0.74% 2.16%
A25
High-yield defaults
By year
Year 1970 1971 1972 1973 1974 1975 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 25-yr avg. Amount ($ mn) 933.0 125.0 273.0 200.0 289.0 320.0 114.0 430.0 192.0 31.0 297.9 119.7 1,063.0 588.0 992.8 2,549.7 3,619.4 10,272.5 5,048.1 15,055.4 22,856.5 22,002.4 8,190.5 4,681.1 3,361.8 7,216.5 4,759.7 5,239.2 7,988.1 22,013.0 28,332.9 55,985.5 55,591.5 24,921.9 8,637.5 22,857.0 7,305.0 3,244.2 19,446.1 94,635.7 7,381.3 18,825.7 Number 31 4 9 8 8 8 5 8 5 2 8 10 23 17 18 23 27 28 33 49 51 62 31 20 16 37 18 26 47 86 116 138 87 61 29 21 18 11 42 70 19 46 Average Default Size ($ mn) 30.1 31.3 30.3 25.0 36.1 40.0 22.8 53.8 38.4 15.5 37.2 12.0 46.2 34.6 55.2 110.9 134.1 366.9 153.0 307.3 448.2 354.9 264.2 234.1 210.1 195.0 264.4 201.5 170.0 256.0 244.2 405.7 639.0 408.6 297.8 1,088.4 405.8 294.9 463.0 1,351.9 388.5 381.9 Default Rate (par-weighted) 8.78% 1.03% 2.07% 0.76% 0.81% 1.60% 0.80% 1.67% 1.67% 0.40% 1.57% 0.42% 3.44% 1.62% 2.09% 3.84% 3.48% 6.87% 2.80% 7.20% 10.89% 11.54% 4.45% 2.33% 1.46% 2.82% 1.64% 1.45% 1.73% 4.10% 5.03% 9.13% 7.98% 3.32% 1.10% 2.81% 0.87% 0.38% 2.25% 10.27% 0.74% 4.27% Default Rate (issuer-weighted) 8.78% 1.03% 2.07% 0.76% 0.81% 1.60% 0.80% 1.67% 1.67% 0.40% 1.62% 0.71% 3.57% 3.89% 3.39% 3.99% 5.81% 4.32% 3.53% 5.76% 9.74% 10.42% 5.16% 3.84% 2.63% 5.73% 2.36% 2.70% 3.95% 6.99% 9.69% 12.05% 8.67% 6.42% 2.91% 2.13% 1.88% 1.20% 4.94% 8.59% 2.16% 5.34%
Note: 2010 data is through November 30, 2010. Sources: J.P. Morgan; Moodys Investors Service; Bond Investors Association.
A26
Defaults
2010 institutional bank loan defaults
Company January Thomas Nelson Gateway Casino (New World Gaming) International Aluminum Jacuzzi Brands Natural Products Regent Broadcasting Defaulted Debt : Number of Companies February Mega Brands Movie Gallery Penton Media Spheris Operating White Birch Paper Company Defaulted Debt : Number of Companies March Electrical Components International EnviroSolutions Holdings Xerium Technologies Defaulted Debt : Number of Companies April Green Valley Ranch Defaulted Debt : Number of Companies May Chem Rx Neff Rental Defaulted Debt : Number of Companies June National Envelope Network Communications Defaulted Debt : Number of Companies July American Safety Razor Medical Staffing Network Oriental Trading Defaulted Debt : Number of Companies
C
Default action Missed interest payment Missed interest payment Filed Chapter 11 Recapitilization Prepackaged chapter 11 Missed interest payment Industry Diversified Media Gaming Lodging and Leisure Housing Industrials Consumer Products Broadcasting 161.5 1,104.8 98.8 175.0 565.0 105.8 2,210.9 6
Debt ($ mn)
248.3 540.9 869.0 100.0 542.2 2,300.4 5
Filed Chapter 15 Filed Chapter 11 Filed Chapter 11 Filed Chapter 11 Filed Chapter 11
Consumer Products Retail Diversified Media Healthcare Paper and Packaging
286.4 188.5 298.8 773.7 3
Prepackaged Chapter 11 Filed Chapter 11 Prepackaged Chapter 11
Utility Services Paper and Packaging
763.5 763.5 1
Filed Chapter 11
114.0 377.9 491.9 2
Filed Chapter 11 Prepackaged Chapter 11
Healthcare Services
110.0 68.2 178.2 2
Filed Chapter 11 Grace expired
Consumer Products Diversified Media
384.3 106.3 565.0 1,055.6 3
Filed Chapter 11 Filed Chapter 11 Filed Chapter 11
Consumer Products Services Consumer Products
A27
Defaults
2010 institutional bank loan defaults (continued)

Company August Boston Generating FGIC Corp Graceway Pharmaceuticals Defaulted Debt : Number of Companies September Workflow Management Defaulted Debt : Number of Companies October TerreStar Networks Defaulted Debt : Number of Companies November American Media Operations Local Insight Regatta Holdings Vertis Defaulted Debt : Number of Companies Total defaulted debt: Number of issuers: Default rate (Par-weighted): Default rate (Issuer-weighted):
Debt ($ mn) 1,975.1 46.0 330.0 2,351.1 3
Default action Filed Chapter 11 Filed Chapter 11 Missed interest payment
Industry Utility Financial Healthcare
251.4 251.4 1
Filed Chapter 11
Services
100.0 100.0 1
Filed Chapter 11
Cable and Satellite
430.6 310.9 395.0 1,136.5 3 11,613.2 30 2.18% 2.86%
Pre-packaged Chapter 11 Filed Chapter 11 Filed Chapter 11
Diversified Media Diversified Media Diversified Media
A28
Instititional bank loan defaults

By year
Year 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 13-yr avg. Amount ($ mn) 550.0 3,220.0 7,080.0 8,120.0 7,850.0 3,040.0 1,520.0 5,850.0 1,220.0 1,223.5 29,741.8 90,090.3 11,613.2 13,163.0 Number 4 9 33 26 23 12 6 11 5 3 60 93 30 24 Average default size ($ mn) 137.5 357.8 214.5 312.3 341.3 253.3 253.3 531.8 244.0 407.8 495.7 968.7 387.1 378.9 Default rate (par-weighted) 1.51% 4.17% 6.57% 6.30% 6.01% 2.25% 1.01% 3.02% 0.48% 0.24% 3.88% 12.78% 2.18% 3.97% Default rate (issuer-weighted) 2.12% 2.69% 8.23% 5.31% 4.45% 2.28% 1.12% 1.98% 0.79% 0.26% 5.10% 7.34% 2.86% 3.45%
Note: 2010 data is through November 30, 2010. Sources: J.P. Morgan; Moody's Investors Service; S&P LCD.
A29
Defaults
2010 Non US high-yield bond and institutional bank loan defaults

Company January through May No defaults June Metrogas S.A. Defaulted Debt : Number of Companies July International Industrial Bank Titan Petrochemicals Tristan Oil Truvo Subsidiary Corp. Weather Finance III S.a.r.l. Defaulted Debt : Number of Companies August and September No defaults October Hipotecaria Su Casita, S.A. de C.V. Defaulted Debt : Number of Companies Total defaulted debt: Number of issuers:
Source: Moody's Investors Service
Bonds
Loans ($ mn)
Default action
Industry
Country
210.9 210.9 1
Filed for bankruptcy
Utility
Argentina
244.8 209.0 420.0 483.4 1,596.0 2,953.2 5
Missed principal payment Distressed exchange Filed for bankruptcy Filed Chapter 11 Suspension of payments
Financial Transportation Energy Diversified Media Telecommunications
Russia China Kazakhstan Belgium Greece
73.0 73.0 1 3,237.0 7 0.0 0
Missed principal/interest payment
Financial
Mexico
A30
Downgrades
Date 08-Jan-10 08-Jan-10 12-Jan-10 12-Jan-10 13-Jan-10 13-Jan-10 13-Jan-10 13-Jan-10 15-Jan-10 15-Jan-10 15-Jan-10 19-Jan-10 20-Jan-10 20-Jan-10 22-Jan-10 22-Jan-10 22-Jan-10 25-Jan-10 25-Jan-10 25-Jan-10 25-Jan-10 25-Jan-10 25-Jan-10 25-Jan-10 25-Jan-10 25-Jan-10 25-Jan-10 25-Jan-10 25-Jan-10 25-Jan-10 25-Jan-10 25-Jan-10 29-Jan-10 Issuer Crown Castle International Crown Castle International Stone Energy Stone Energy Antero Resources Gibson Energy Great Atlantic & Pacific Tea Helix Energy Solutions LSP Energy LP LSP Energy LP Steelcase Harrah's Operating Coleman Cable K. Hovnanian Enterprises CRC Health Texas Industries Texas Industries American International Group American International Group American International Group American International Group American International Group American International Group American International Group American International Group American International Group American International Group American International Group American International Group American International Group American International Group American International Group Citizens Republic Bancorp January total: 15 issuers Overseas Shipholding Group Overseas Shipholding Group AES Ironwood Windstream Windstream Windstream Windstream MGIC Investment Corp MGIC Investment Corp PMI Group Radian Group Radian Group Radian Group Spheris Xerox Forbes Energy Services Security 9% Sr Nts 15 7 1/8% Sr Nts 19 8 1/4% Sr Sub Nts 11 6 3/4% Sr Sub Nts 14 9 3/8% Sr Nts 17 11 3/4% Sr Sec Nts 14 11 3/8% Sr Sec Nts 15 9 1/2% Sr Nts 16 8 1/6% Sec Nts 25 7 1/6% Sec Nts 14 6 1/2% Nts 11 11 1/4% Sr Sec Nts 17 9 7/8% Sr Nts 12 18% Sr Nts 17 10 3/4% Sr Sub Nts 16 7 1/4% Sr Nts 13 7 1/4% Sr Nts 13 5 3/4% Sr Nts 11 6 3/8% Sr Nts 13 5 2/3% Sr Nts 14 5 5/8% Sr Nts 13 5% Sr Unsub 10 6 5/8% Sr Nts 13 5 2/5% Sr Nts 12 5 7/8% Sr Nts 13 4 7/8% Sr Nts 10 5 1/3% Sr Nts 12 4 3/4% Sr Nts 12 5 1/8% Sr Nts 10 5 5/9% Sr Nts 12 5 1/4% Sr Nts 13 5 5/8% Sr Nts 10 5 3/4% Sub Nts 13 Moodys Rating (old) B1 B1 Caa1 Caa1 Caa1 B1 B3 B3 B3 B3 Ba1 Caa1 B3 B3 Caa1 B2 B2 B1 B1 B1 B1 B1 B1 B1 B1 B1 B1 B1 B1 B1 B1 B1 B3 Moodys Rating (new) B1 B1 Caa1 Caa2 Caa1 Ba3 Caa1 B3 Caa1 Caa1 Ba1 Caa1 B3 Caa1 Caa1 B3 B3 B1 B1 B1 B1 B1 B1 B1 B1 B1 B1 B1 B1 B1 B1 B1 B3 S&P S&P Rating (old) Rating (new) B+ BB+ BB CCC+ B CCC+ B+ B BBB+ BCC B+ B CCC CCC CCC CCC BBB BBBB BB+ B CCCCCCCCC+ CCC B+ B B+ B BBB+ BB+ BBB+ BB+ BBB+ BB+ BBB+ BB+ BBB+ BB+ BBB+ BB+ BBB+ BB+ BBB+ BB+ BBB+ BB+ BBB+ BB+ BBB+ BB+ BBB+ BB+ BBB+ BB+ BBB+ BB+ BBB+ BB+ B+ CCC Amount ($ mn) 900.0 500.0 200.0 200.0 375.0 560.0 260.0 550.0 176.0 63.5 250.0 720.0 240.0 29.3 177.3 300.0 250.0 1,150.0 1,000.0 1,000.0 850.0 800.0 750.0 750.0 600.0 600.0 600.0 500.0 350.0 300.0 300.0 300.0 17.0 15,618.0 150.0 78.1 255.9 1,746.0 1,100.0 800.0 500.0 300.0 86.1 150.0 250.0 250.0 250.0 125.0 650.0 205.0
01-Feb-10 01-Feb-10 02-Feb-10 04-Feb-10 04-Feb-10 04-Feb-10 04-Feb-10 05-Feb-10 05-Feb-10 05-Feb-10 05-Feb-10 05-Feb-10 05-Feb-10 05-Feb-10 09-Feb-10 10-Feb-10
7 1/2% Sr Nts 24 8 3/4% Debs 13 8 6/7% Sec Nts 25 8 5/8% Sr Nts 16 7 7/8% Sr Nts 17 8 1/8% Sr Nts 13 7% Sr Nts 19 5 3/8% Sr Nts 15 5 5/8% Sr Nts 11 6 5/8% Sr Nts 36 5 3/8% Sr Nts 15 5 5/8% Sr Nts 13 7 3/4% Sr Nts 11 11% Sr Sub Nts 12 8% Trust Pfd Secs 27 11% Sr Sec Nts (2nd Lien) 15
Ba2 Ba2 B1 Ba3 Ba3 Ba3 Ba3 B3 B3 B3 B3 B3 B3 Caa1 Baa3 Caa2
Ba3 Ba3 B2 Ba3 Ba3 Ba3 Ba3 Caa1 Caa1 Caa2 Caa1 Caa1 Caa1 C Baa3 Caa2
BB BB B+ BBBBBBBBCCC CCC CCC+ CCC CCC CCC CCC BB+ CCC+
BBBBB B+ B+ B+ B+ CCC CCC CCC+ CCC CCC CCC NR BB CCC
A31
Downgrades
Date 12-Feb-10 17-Feb-10 17-Feb-10 17-Feb-10 17-Feb-10 17-Feb-10 17-Feb-10 17-Feb-10 17-Feb-10 17-Feb-10 17-Feb-10 17-Feb-10 18-Feb-10 18-Feb-10 18-Feb-10 19-Feb-10 22-Feb-10 23-Feb-10 23-Feb-10 23-Feb-10 23-Feb-10 24-Feb-10 24-Feb-10 24-Feb-10 24-Feb-10 24-Feb-10 24-Feb-10 24-Feb-10 24-Feb-10 24-Feb-10 24-Feb-10 24-Feb-10 24-Feb-10 24-Feb-10 24-Feb-10 24-Feb-10 24-Feb-10 24-Feb-10 25-Feb-10 25-Feb-10 Issuer Phoenix Life Insurance Astoria Capital Trust I Blockbuster Blockbuster Capital One Financial Capital One Financial Capital One Financial Capital One Financial FCB/NC Capital Trust UPM-Kymmene UPM-Kymmene UPM-Kymmene Evraz Group SA Evraz Group SA Evraz Group SA Spectrum Brands US CONCRETE Ethan Allen Petroplus Finance Petroplus Finance Petroplus Finance American International Group American International Group American International Group American International Group American International Group American International Group American International Group American International Group American International Group American International Group American International Group American International Group American International Group American International Group American International Group American International Group Reddy Ice Citigroup Rafaella Apparel February total: 24 issuers American Pacific IPCS Inc Sprint Nextel Corporation Sprint Nextel Corporation Sprint Nextel Corporation Sprint Nextel Corporation Sprint Nextel Corporation Sprint Nextel Corporation Sprint Nextel Corporation Sprint Nextel Corporation Sprint Nextel Corporation Sprint Nextel Corporation Moodys Security Rating (old) 7 1/7% Jr Sub Nts 34 Ba3 9 3/4% Trust Pfd Secs 29 Baa2 11 3/4% Sr Sec Nts (1st Lien) 14 B1 9% Sr Sub Nts 12 Caa3 10 1/4% Trust Pfd Secs 39 Baa2 8 7/8% Trust Pfd Secs 40 Baa2 7 2/3% Jr Sub Nts 36 Baa2 8% Trust Pfd Secs 27 Baa2 8% Trust Pfd Secs 28 Baa1 5 5/8% Sr Nts 14 Ba1 7 4/9% Sr Nts 27 Ba1 5 1/2% Sr Nts 18 Ba1 8 7/8% Sr Nts 13 B2 8 1/4% Guar Nts 15 B2 9 1/2% Sr Nts 18 B2 12% Sr Sub Toggle Nts 19 Caa1 8 3/8% Sr Sub Nts 14 Caa2 5 3/8% Sr Nts 15 Ba1 7% Sr Sec Nts (1st Lien) 17 B1 6 3/4% Sr Sec Nts (1st Lien) 14 B1 9 3/8% Sr Sec Nts (1st Lien) 19 B1 7% Sr Nts 17 B2 5 3/8% Sr Nts 12 B2 5 2/5% Sr Nts 15 B2 4 7/8% Sr Nts 12 B2 4% Sr Nts 11 B2 4 5/8% Sr Nts 10 B2 4 7/8% Sr Nts 10 B2 5 6/7% Sr Nts 13 B2 5 5/8% Sr Nts 11 B2 FLOAT Sr Nts 11 B2 FLOAT Sr Nts 11 B2 5 3/4% Sr Nts 16 B2 5 1/5% Sr Nts 11 B2 5 8/9% Sr Nts 12 B2 6 1/2% Sr Nts 17 B2 FLOAT Sr Nts 10 B2 0.000%/10.500% Sr Disc Nts 12 Caa1 7 5/8% Trust Pfd Secs 36 Baa3 11 1/4% Sr Sec Nts 11 Ca Moodys Rating (new) B1 Baa3 Caa1 C Baa3 Baa3 Baa3 Baa3 Baa2 Ba1 Ba1 Ba1 B2 B2 B2 Caa2 Caa3 Ba2 B2 B2 B2 B3 B3 B3 B3 B3 B3 B2 B3 B3 B3 B3 B3 B3 B3 B3 B2 Caa2 Ba1 Ca S&P S&P Rating (old) Rating (new) B+ B BBBBB NR CCC+ C BB BB BB BB BB BB BB BB BB BB BB+ BB BB+ BB BB+ BB B+ B B+ B B+ B CCC CCC CCC C B+ B+ B+ B B+ B B+ B BB+ B BB+ B BB+ B BB+ B BB+ B BB+ B BB+ B BB+ B BB+ B BB+ B BB+ B BB+ B BB+ B BB+ B BB+ B BB+ B CCC+ C BBBBCCCC Amount ($ mn) 175.0 120.0 652.5 300.0 1,000.0 1,000.0 650.0 100.0 150.0 500.0 375.0 250.0 1,155.9 576.7 511.2 218.1 272.6 200.0 600.0 600.0 400.0 3,000.0 1,000.0 750.0 700.0 500.0 500.0 500.0 500.0 475.0 450.0 400.0 375.0 300.0 300.0 300.0 150.0 151.0 194.1 71.9 27,320.1 110.0 300.0 2,475.0 2,137.1 2,000.0 2,000.0 2,000.0 1,729.4 1,650.0 1,472.9 1,300.0 1,169.9
01-Mar-10 04-Mar-10 04-Mar-10 04-Mar-10 04-Mar-10 04-Mar-10 04-Mar-10 04-Mar-10 04-Mar-10 04-Mar-10 04-Mar-10 04-Mar-10
9% Sr Nts 15 FLOAT Sr Sec Nts (1st Lien) 13 6 7/8% Sr Nts 28 7 3/8% Sr Nts 15 8 3/8% Sr Nts 12 8 3/4% Sr Nts 32 6% Sr Nts 16 7% Sr Guar Nts 19 7 5/8% Sr Guar Nts 11 6 7/8% Sr Nts 13 8 3/8% Sr Nts 17 6% Sr Nts 14
B2 B1 Ba3 Ba2 Ba3 Ba3 Ba3 Ba3 Ba3 Ba2 Ba3 Ba2
B3 B1 Ba3 Ba2 Ba3 Ba3 Ba3 Ba3 Ba3 Ba2 Ba3 Ba2
B+ BB BB BB BB BB BB BB BB BB BB BB
B BBBBBBBBBBBBBBBBBBBBBB-
Downgrades
Date 04-Mar-10 04-Mar-10 05-Mar-10 09-Mar-10 09-Mar-10 10-Mar-10 11-Mar-10 11-Mar-10 11-Mar-10 11-Mar-10 11-Mar-10 11-Mar-10 12-Mar-10 15-Mar-10 15-Mar-10 16-Mar-10 16-Mar-10 16-Mar-10 16-Mar-10 17-Mar-10 17-Mar-10 17-Mar-10 17-Mar-10 17-Mar-10 22-Mar-10 22-Mar-10 22-Mar-10 22-Mar-10 22-Mar-10 23-Mar-10 23-Mar-10 24-Mar-10 25-Mar-10 26-Mar-10 26-Mar-10 26-Mar-10 26-Mar-10 30-Mar-10 31-Mar-10 31-Mar-10 Issuer Sprint Nextel Corporation Sprint Nextel Corporation Reddy Ice Axtel SA Axtel SA Western Refining Regions Financial Corp Regions Financial Corp Regions Financial Corp Regions Financial Corp Regions Financial Corp Regions Financial Corp Norske Skog Canada Kinder Morgan Energy Partners Kinder Morgan Energy Partners Aquilex Holdings Scientific Games Scientific Games Scientific Games Avaya Avaya Deluxe Corp Deluxe Corp GMAC Plains Exploration & Production Plains Exploration & Production Plains Exploration & Production Plains Exploration & Production Plains Exploration & Production Impress Group BV Indianapolis Downs Insight Health Services Takefugi Affinion Group Inc Affinion Group Inc Ambac Financial Group Ambac Financial Group Stewart & Stevenson LLC American Media American Media March total: 23 issuers Ceridian Ceridian Coffeyville Resources General Maritime Jacobs Entertainment LIN Television Newland International Property DP World DP World Sukuk Ltd LIN Television Phillips Van-Heusen Phillips Van-Heusen Moodys Security Rating (old) FLOAT Sr Nts 10 Ba3 9 1/4% Sr Nts 22 Ba3 11 1/4% Sr Sec Nts (1st Lien) 15 B1 9% Sr Nts 19 Ba2 7 5/8% Sr Nts 17 Ba2 11 1/4% Sr Sec Nts 17 B3 6 3/8% Sub Nts 12 Ba1 7% Sub Nts 11 Ba1 7 3/4% Sub Nts 11 Ba1 7 3/8% Sub Nts 37 Ba1 6 3/4% Sub Debs 25 Ba1 7 3/4% Sub Nts 24 Ba1 7 3/8% Sr Nts 14 Caa1 6 6/7% Sr Nts 18 Baa3 6 1/4% Sr Nts 13 Baa3 11 1/8% Sr Nts 16 B3 9 1/4% Sr Sub Nts 19 Ba3 6 1/4% Sr Sub Nts 12 Ba3 7 7/8% Sr Sub Nts 16 Ba3 10 7/8% Sr Toggle Nts 15 Caa2 9 3/4% Sr Nts 15 Caa2 5% Sr Nts 12 Ba2 5 1/8% Sr Nts 14 Ba2 8% Sub Nts 18 B3 7 3/4% Sr Nts 15 B1 10% Sr Guar Nts 16 B1 7% Sr Nts 17 B1 7 5/8% Sr Nts 18 B1 8 5/8% Sr Nts 19 B1 FLOAT Sr Sec Nts 13 Ba3 11% Sr Sec Nts (2nd Lien) 12 Caa2 FLOAT Sr Sec Nts 11 NR 9 1/5% Sr Nts 11 Caa1 10 1/8% Sr Nts 13 B2 10 1/8% Sr Sub Nts 13 B2 6% Sr Nts 35 Ca 9 3/8% Sr Nts 11 Ca 10% Sr Nts 14 B3 14% Sr Sub Toggle Nts 13 NR 9% Sr Nts 13 NR Moodys Rating (new) Ba3 Ba3 B2 B2 B2 B3 B1 B1 B1 B1 B1 B1 Caa2 Ba1 Ba1 Caa1 B1 B1 B1 Caa2 Caa2 Ba3 Ba3 B3 B1 B1 B1 B1 B1 Ba3 Caa3 NR Ca B3 B3 C C Caa2 NR NR S&P S&P Rating (old) Rating (new) BB BBBB BBBBBBB+ BBB+ BBCCC+ BBBBB BBBBB BBBBB BBBBB BBBBB BBBBB C C BBB BBBBBB BBBB BBBBBBBBBBBBBBCCC+ BCCC+ BBB BBB B CCC+ BB BBBB BBBB BBBB BBBB BBBBB+ CCC CCC CCCC CCCCC BBBBCC C CC C CCC CCC CCCCC CCCCC Amount ($ mn) 750.0 200.0 300.0 300.0 275.0 325.0 600.0 500.0 500.0 300.0 150.0 100.0 250.0 550.0 500.0 225.0 350.0 200.0 200.0 790.8 700.0 280.3 263.5 482.9 600.0 565.0 500.0 400.0 400.0 175.0 375.0 300.0 675.0 304.0 150.0 400.0 142.5 150.0 332.4 21.7 32,927.3 825.0 505.9 225.0 300.0 210.0 141.3 220.0 1,750.0 1,500.0 275.9 150.0 150.0
01-Apr-10 01-Apr-10 01-Apr-10 05-Apr-10 06-Apr-10 06-Apr-10 06-Apr-10 07-Apr-10 07-Apr-10 07-Apr-10 07-Apr-10 07-Apr-10
11 1/4% Sr Nts 15 13% Sr Toggle Nts 15 10 7/8% Sr Sec Nts (2nd Lien) 17 12% Sr Nts 17 9 3/4% Sr Nts 14 6 1/2% Sr Sub Nts 13 9 1/2% Sr Sec Nts 14 6 6/7% Sr Nts 37 6 1/4% Sr Nts 17 6 1/2% Sr Sub Nts 13 8 1/8% Sr Nts 13 7 1/4% Sr Nts 11
Caa2 Caa2 Ba3 B3 B3 B3 B1 Ba1 Ba1 B3 Ba3 Ba3
Caa2 Caa2 B3 Caa1 Caa1 B3 B2 Ba1 Ba1 B3 Ba3 Ba3
CCC+ CCC+ BBB BBNR BB+ BB+ BBB+ BB+
CCC CCC BBCCC+ BCCC+ NR BB BB CCC+ BB BB
A33
Downgrades
Date 07-Apr-10 08-Apr-10 12-Apr-10 12-Apr-10 12-Apr-10 12-Apr-10 12-Apr-10 12-Apr-10 12-Apr-10 12-Apr-10 12-Apr-10 12-Apr-10 12-Apr-10 12-Apr-10 12-Apr-10 12-Apr-10 12-Apr-10 12-Apr-10 12-Apr-10 12-Apr-10 12-Apr-10 12-Apr-10 12-Apr-10 12-Apr-10 12-Apr-10 13-Apr-10 14-Apr-10 14-Apr-10 15-Apr-10 16-Apr-10 21-Apr-10 21-Apr-10 23-Apr-10 23-Apr-10 23-Apr-10 23-Apr-10 28-Apr-10 28-Apr-10 Issuer Shingle Springs Ford Motor Company Dynegy Dynegy Dynegy Dynegy Dynegy Dynegy Dynegy Dynegy Edison International Edison International Edison International Edison International Edison International Edison International Edison International Reliant Energy Reliant Energy Reliant Energy Reliant Energy SBA Communications SBA Communications Sithe/Independence Funding Valmont Industries Dynegy NCO Group Inc NCO Group Inc Servicemaster Harrah's Operating American Seafood Ticketmaster Greentown China Holdings Regal Cinemas Synovus Financial Synovus Financial PMI Group Triumph Group April total: 29 issuers Agile Property Holdings Aspect Software Lazard Group LLC Lazard Group LLC Penson Worldwide American Capital Phillips Van-Heusen Trico Marine Svcs US Investigations Systems US Investigations Systems Compagnie Generale de Geophysique Compagnie Generale de Geophysique Compagnie Generale de Geophysique Wendys/Arbys Group Moodys Security Rating (old) 9 3/8% Sr Nts 15 Caa1 7% Sr Nts 15 B1 7 3/4% Sr Nts 19 B3 8 3/8% Sr Nts 16 B3 7 1/2% Sr Nts 15 B3 8 1/3% Sub Nts 27 Caa1 7 1/8% Debs 18 B3 7 5/8% Debs 26 B3 8 3/4% Sr Nts 12 B3 6 7/8% Sr Nts 11 B3 7% Sr Nts 17 B2 7 1/5% Sr Nts 19 B2 7 5/8% Sr Nts 27 B2 8 3/4% Sr Sec Nts 26 Ba2 7 1/2% Sr Nts 13 B2 7 3/4% Sr Nts 16 B2 8 1/7% Sr Sec Nts 19 Ba2 7 7/8% Sr Nts 17 B2 7 5/8% Sr Nts 14 B2 12% Sr Nts 10 Ba3 6 3/4% Sr Sec Nts 14 B1 8% Sr Nts 16 Ba2 8 1/4% Sr Nts 19 Ba2 9% Sr Sec Nts 13 Ba2 6 5/8% Sr Nts 20 Ba1 7 1/2% Sr Nts 15 B3 11 7/8% Sr Sub Nts 14 Caa1 FLOAT Sr Nts 13 B3 12% Sr Sec Nts (2nd Lien) 15 B2 12 3/4% Sr Sec Nts (2nd Lien) 18 Caa 0.000%/11.500% Sr Disc Nts 11 B3 10 3/4% Sr Nts 16 Ba3 9% Sr Sub Sec Nts 13 Caa2 8 5/8% Sr Sub Nts 19 B1 5 1/8% Sub Nts 17 B2 4 7/8% Sub Nts 13 B2 6% Sr Nts 16 B3 8% Sr Sub Nts 17 Ba3 Moodys Rating (new) Caa2 B1 Caa2 Caa2 Caa2 Caa3 Caa2 Caa2 Caa2 Caa2 B3 B3 B3 Ba2 B3 B2 Ba2 B3 B3 Ba3 B1 Ba3 Ba3 Ba3 Ba1 Caa3 Caa2 Caa1 B3 Ca Caa1 B1 Caa2 B2 B3 B3 Caa2 B1 S&P S&P Rating (old) Rating (new) BCCC B+ BB BB BB BCCC CCCB BB BB BB BB BB BB BBBB+ B BB BBBB+ B+ B B+ B BB BBBB BBBBBBBBBBB BBBB BBBB BCCC+ CCC CCC+ CCC NR B CCC CCC B B BBB B BBBB+ B+ B+ B+ BCCC+ B+ B+ Amount ($ mn) 450.0 1,750.0 1,100.0 1,046.8 550.0 200.0 175.0 175.0 90.0 80.0 1,200.0 800.0 700.0 505.7 500.0 500.0 219.0 725.0 575.0 400.0 279.1 375.0 375.0 286.5 300.0 235.0 200.0 165.0 165.0 750.0 196.0 287.0 38.7 400.0 450.0 206.8 250.0 175.0 23,128.6 650.0 300.0 548.4 538.5 200.0 550.0 100.0 400.0 290.0 150.0 530.0 400.0 350.0 565.0
03-May-10 05-May-10 05-May-10 05-May-10 06-May-10 07-May-10 10-May-10 10-May-10 10-May-10 10-May-10 11-May-10 11-May-10 11-May-10 11-May-10
8 7/8% Sr Nts 17 10 5/8% Sr Sec Nts (2nd Lien) 17 6 6/7% Sr Nts 17 7 1/8% Sr Nts 15 12 1/2% Sr Sec Nts (2nd Lien) 17 6 6/7% Sr Nts 12 7 3/4% Sr Sec Nts (1st Lien) 23 11 7/8% Sr Sec Nts 14 10 1/2% Sr Sub Nts 15 11 3/4% Sr Sub Nts 16 7 1/2% Sr Nts 15 7 3/4% Sr Nts 17 9 1/2% Sr Nts 16 10% Sr Nts 16
Baa3 B3 Ba1 Ba1 B1 B2 Baa3 B1 Caa2 Caa2 Ba3 Ba3 Ba3 B2
Ba3 Caa1 Ba2 Ba2 B1 B2 Ba2 B3 Caa2 Caa2 Ba3 Ba3 Ba3 B3
BB B+ BBBBBBBB+ BBBB BCCC+ CCC+ BB BB BB B+
BB B+ BBBBBBBBCC BBB CCCCCC CCC BBBBBBB+
Downgrades
Date 12-May-10 12-May-10 13-May-10 18-May-10 19-May-10 20-May-10 21-May-10 21-May-10 24-May-10 24-May-10 24-May-10 24-May-10 24-May-10 24-May-10 25-May-10 26-May-10 27-May-10 27-May-10 27-May-10 28-May-10 28-May-10 28-May-10 28-May-10 28-May-10 28-May-10 28-May-10 28-May-10 28-May-10 Issuer Aspect Software Wynn Las Vegas Standard Pacific Neff Town Sports International Keystone Automotive Operations Dole Food El Pollo Loco Broadwing Broadwing Broadwing Broadwing Broadwing Broadwing Gundle/SLT Environmental Symbion Alon Refining Krotz Springs Clayton William Energy World Directories Atlas Energy Resources Atlas Energy Resources Boyd Gaming Boyd Gaming Boyd Gaming Forest Oil Forest Oil Forest Oil Medimedia May total: 28 issuers C&M Finance C&M Finance El Pollo Loco Network Communications ATP Oil & Gas Hercules Offshore Hornbeck Offshore Services Hornbeck Offshore Services Penhall International Brookstone Linn Energy Gibson Energy Geokinetics Lyondell Chemical Ahern Rentals Inc Anixter International Anixter International First American Capital Trust I FPL Energy Caithness Funding FPL Energy Caithness Funding USG USG USG Universal Health Services Moodys Security Rating (old) 10 5/8% Sr Sec Nts (2nd Lien) 17 Caa1 7 7/8% 1st Mtg Nts 17 Ba2 10 3/4% Guar Nts 16 B3 10% Sr Nts 15 Ca 0.000%/11.000% Sr Disc Nts 14 B3 9 3/4% Sr Sub Nts 13 Caa3 13 7/8% Sr Sec Nts 14 B1 11 3/4% Sr Sec Nts 12 B2 8 3/4% Sr Sub Nts 18 B2 8 1/4% Sr Nts 17 Ba3 7% Sr Nts 15 Ba3 6 2/7% Sr Guar Nts 28 Ba1 7 1/4% Sr Sec Nts 23 Ba2 7 1/5% Sr Nts 23 Ba1 11% Sr Nts 12 Caa1 11 3/4% Sr Toggle Nts 15 Caa1 13 1/2% Sr Sec Nts 14 B2 7 3/4% Sr Nts 13 Caa1 8 3/8% Sr Sec Nts (2nd Lien) 14 Ca 10 3/4% Sr Nts 18 B3 12 1/8% Sr Nts 17 B3 6 3/4% Sr Sub Nts 14 B3 7 1/8% Sr Sub Nts 16 B3 7 3/4% Sr Sub Nts 12 B3 7 1/4% Sr Nts 19 B1 8 1/2% Sr Nts 14 B1 8% Sr Nts 11 B1 11 3/8% Sr Sub Nts 14 Caa1 Moodys Rating (new) Caa1 Ba3 B3 C Caa1 Caa3 B2 B3 B3 B2 B2 Ba2 Ba3 Ba2 Caa2 Caa2 B2 Caa1 C B3 B3 Caa1 Caa1 Caa1 B1 B1 B1 Caa2 S&P S&P Rating (old) Rating (new) B+ BBB+ BB+ BCCC CCC CCC CCC+ CCC+ CCC C BBB+ B CCC+ BBB+ BB+ BBB BB BB BB BB BB CCC CCC CCC+ CCC BB B B+ BC C B+ B B+ B B+ CCC+ B+ CCC+ B+ CCC+ BBB+ BBB+ BBB+ CCC+ CCC+ Amount ($ mn) 300.0 500.0 280.0 34.0 138.7 175.0 231.2 132.5 625.0 500.0 250.0 134.5 50.0 33.0 150.0 195.5 216.5 225.0 200.0 400.0 200.0 248.7 240.8 158.8 1,000.0 600.0 285.0 150.0 13,225.9 43.0 14.5 125.0 175.0 1,500.0 300.0 300.0 250.0 175.0 185.0 1,300.0 200.0 300.0 3,240.3 236.7 200.0 41.6 34.8 71.5 66.1 500.0 500.0 300.0 400.0
01-Jun-10 01-Jun-10 03-Jun-10 04-Jun-10 09-Jun-10 09-Jun-10 09-Jun-10 09-Jun-10 09-Jun-10 10-Jun-10 11-Jun-10 16-Jun-10 18-Jun-10 18-Jun-10 22-Jun-10 22-Jun-10 22-Jun-10 23-Jun-10 23-Jun-10 23-Jun-10 25-Jun-10 25-Jun-10 25-Jun-10 28-Jun-10
8% Sr Nts 16 FLOAT Sr Nts 11 11 3/4% Sr Nts 13 10 3/4% Bds 13 11 7/8% Sr Sec Nts (2nd Lien) 15 10 1/2% Sr Sec Nts 17 6 1/8% Sr Nts 14 8% Sr Nts 17 12% Sr Sec Nts (2nd Lien) 14 12% Sr Sec Nts 12 8 5/8% Sr Nts 20 10% Sr Nts 18 9 3/4% Sr Sec Nts 14 11% Sr Sec Nts (3rd Lien) 18 9 1/4% Sr Sec Nts (2nd Lien) 13 6% Sr Nts 15 10% Sr Nts 14 8 1/2% Trust Pfd Secs 12 6 1/8% Sr Sec Nts 19 6 7/8% Sr Sec Nts 17 6 2/7% Sr Nts 16 7 3/4% Sr Nts 18 9 3/4% Sr Nts 14 7 1/8% Sr Nts 16
B2 B2 Caa2 Caa1 Caa2 B2 Ba3 Ba3 Caa2 Caa3 Ba3 Ba3 B2 Ba3 Caa3 Ba2 Ba2 Ba1 Ba2 Ba2 Caa1 Caa1 B1 Baa3
B3 B3 Caa3 Ca Caa2 Caa1 Ba3 Ba3 Ca Caa3 B3 B3 B3 B3 Ca Ba2 Ba2 B1 Ba2 Ba2 Caa2 Caa2 B2 Ba2
B B CC CC B B BBBBCCC CCCB BB B CCC+ BB+ BB+ BB BBBBB+ B+ BB BBB-
B B CC NR CCC+ BB+ B+ NR C B BBB CCC BB BB B+ B+ B+ B B BB BB+
A35
Downgrades
Date 28-Jun-10 29-Jun-10 29-Jun-10 Issuer Universal Health Services Terex Trico Marine Svcs June total: 20 issuers Colt Defense American Railcar Industries Questar Market Resources Seminole Hard Rock Entertainment Seminole Tribe First Industrial LP First Industrial LP First Industrial LP First Industrial LP First Industrial LP First Industrial LP First Industrial LP iStar Financial iStar Financial iStar Financial iStar Financial iStar Financial iStar Financial iStar Financial iStar Financial iStar Financial iStar Financial iStar Financial iStar Financial iStar Financial Silgan Skilled Healthcare Group Expro International Group KB Home KB Home KB Home KB Home KB Home KB Home Midcontinent Express Pipelines Midcontinent Express Pipelines Rockies Express Rockies Express Rockies Express Rockies Express Ply Gem Industries National Mentor NGPL Pipeco NMH Holdings July total: 17 issuers Helix Energy Solutions MGM Mirage Multiplan Inc Security 6 3/4% Sr Nts 11 7 3/8% Sr Sub Nts 14 11 7/8% Sr Sec Nts 14 Moodys Rating (old) Baa3 Ba3 B3 Moodys Rating (new) Ba2 B1 Caa2 S&P S&P Rating (old) Rating (new) BBBBB+ BBBBCCCNR Amount ($ mn) 200.0 300.0 400.0 11,358.4 250.0 275.0 300.0 525.0 255.2 190.0 160.2 118.4 91.9 91.1 77.9 35.0 508.7 448.5 393.5 284.8 261.4 206.6 184.4 180.6 170.2 134.0 105.8 99.7 67.1 250.0 130.0 1,400.0 450.0 300.0 300.0 265.0 250.0 100.0 450.0 350.0 750.0 500.0 450.0 250.0 150.0 180.0 1,250.0 221.5 13,411.3 550.0 650.0 225.0
01-Jul-10 02-Jul-10 02-Jul-10 02-Jul-10 02-Jul-10 08-Jul-10 08-Jul-10 08-Jul-10 08-Jul-10 08-Jul-10 08-Jul-10 08-Jul-10 09-Jul-10 09-Jul-10 09-Jul-10 09-Jul-10 09-Jul-10 09-Jul-10 09-Jul-10 09-Jul-10 09-Jul-10 09-Jul-10 09-Jul-10 09-Jul-10 09-Jul-10 09-Jul-10 09-Jul-10 14-Jul-10 16-Jul-10 16-Jul-10 16-Jul-10 16-Jul-10 16-Jul-10 16-Jul-10 20-Jul-10 20-Jul-10 20-Jul-10 20-Jul-10 20-Jul-10 20-Jul-10 26-Jul-10 29-Jul-10 29-Jul-10 29-Jul-10
8 3/4% Sr Nts 17 7 1/2% Sr Nts 14 6 4/5% Sr Nts 20 FLOAT Sr Sec Nts 14 5 4/5% Sr Sec Nts 13 7 3/5% Sr Nts 28 5 3/4% Sr Nts 16 6% Sr Nts 17 6 3/7% Sr Nts 14 7 1/2% Sr Nts 17 6 7/8% Sr Nts 12 7 3/4% Sr Nts 32 8 5/8% Sr Nts 13 6% Sr Nts 13 5 1/7% Sr Nts 12 5 2/3% Sr Nts 11 5 7/8% Sr Nts 16 5 5/7% Sr Nts 14 5 4/5% Sr Nts 11 6% Sr Nts 10 5 1/8% Sr Nts 11 5 1/2% Sr Nts 12 6% Sr Nts 15 5 6/7% Sr Nts 17 6 1/2% Sr Nts 13 7 1/4% Sr Nts 16 11% Sr Sub Nts 14 8 1/2% Sr Sec Nts 16 6 1/4% Sr Nts 15 5 7/8% Sr Nts 15 7 1/4% Sr Nts 18 9% Sr Nts 17 5 3/4% Sr Nts 14 6 3/8% Sr Nts 11 6 5/7% Sr Nts 19 5 4/9% Sr Nts 14 5 5/8% Nts 20 6 7/8% Nts 40 3 8/9% Nts 15 7 1/2% Sr Nts 38 13 1/8% Sr Sub Nts 14 11 1/4% Sr Sub Nts 14 7 1/8% Sr Nts 17 FLOAT Sr Toggle Nts 14
B2 Caa1 Baa3 B1 Baa3 Ba3 Ba3 Ba3 Ba3 Ba3 Ba3 Ba3 Ca Ca Ca Ca Ca Ca Ca Ca Ca Ca Ca Ca Ca Ba3 B3 B1 B1 B1 B1 B1 B1 B1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Caa1 Caa1 Baa3 Caa2
B3 Caa1 Ba1 B2 Ba1 Ba3 Ba3 Ba3 Ba3 Ba3 Ba3 Ba3 Ca Ca Ca Ca Ca Ca Ca Ca Ca Ca Ca Ca Ca Ba3 Caa1 B2 B1 B1 B1 B1 B1 B1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Caa3 Caa1 Ba1 Caa2
B+ BBBBB+ BB BBB BB BB BB BB BB BB BB CCC+ CCC+ CCC+ CCC+ CCC+ CCC+ CCC+ CCC+ CCC+ CCC+ CCC+ CCC+ CCC+ BB+ BB+ BBBBBBBBBBBBBBB BBB BBB BBB BBB BBB CCC CCC+ BBBCCC+
B B+ BB+ BB BBBBBBBBBBBBBBBBBCCCCCCCCCCCCCCCCCCCCCCCCCCCCCCCCCCCCCCCBBCC B B+ B+ B+ B+ B+ B+ BBBBBBBBBBBBBBBBBBCCC CCC BBBCCC
05-Aug-10 05-Aug-10 09-Aug-10

9 1/2% Sr Nts 16 10 3/8% Sr Sec Nts 14 10 3/8% Sr Sub Nts 16
B3 B1 Caa1
B3 B1 Caa1
B B+ B-
BB CCC+
Downgrades
Date 09-Aug-10 10-Aug-10 10-Aug-10 11-Aug-10 11-Aug-10 13-Aug-10 13-Aug-10 13-Aug-10 17-Aug-10 17-Aug-10 17-Aug-10 17-Aug-10 19-Aug-10 20-Aug-10 23-Aug-10 23-Aug-10 24-Aug-10 25-Aug-10 26-Aug-10 27-Aug-10 Issuer Viant Holdings Angiotech Pharmaceutical Angiotech Pharmaceutical OPTI Canada Inc OPTI Canada Inc Reddy Ice Reddy Ice Sbarro Energy Future Holdings Energy Future Holdings Energy Future Holdings Mueller Water Products Wyle Services Affinity Group Accellent Inc McJunkin Red Man Holding Local Insight Regatta Holdings Bonten Media Acquisition BLT Finance BV NBTY August total: 18 issuers Choctaw Resort Development Enterprise Jostens Jostens Jostens McClatchy Owens-Illinois Owens-Illinois Hipotecaria SU Casita Pulte Home Pulte Home Pulte Home Pulte Home Pulte Home Pulte Home Pulte Home Pulte Home Pulte Home Pulte Home Pulte Home Pulte Home Pulte Home Pulte Home Pulte Home Pulte Home Pulte Home Smithfield Foods Blyth Inc Edgen Murray Reynolds Group Escrow OPTI Canada Inc September total: 11 issuers Moodys Security Rating (old) 10 1/8% Sr Sub Nts 17 Caa1 FLOAT Sr Nts 13 Caa2 7 3/4% Sr Sub Nts 14 C 8 1/4% Sr Sec Nts (2nd Lien) 14 Caa3 7 7/8% Sr Sec Nts (2nd Lien) 14 Caa3 11 1/4% Sr Sec Nts (1st Lien) 15 B1 13 1/4% Sr Sec Nts 15 Caa1 10 3/8% Sr Nts 15 C 6 5/9% Sr Nts 34 Caa3 6 1/2% Sr Nts 24 Caa3 5 5/9% Sr Nts 14 Caa3 7 3/8% Sr Sub Nts 17 B3 10 1/2% Sr Sub Nts 18 B3 9% Sr Sub Nts 12 Caa2 8 3/8% Sr Sec Nts (1st Lien) 17 B1 9 1/2% Sr Sec Nts 16 B3 11% Sr Sub Nts 17 Caa3 9% Sr Sub Toggle Nts 15 Caa2 7 1/2% Sr Sec Nts 14 NR 7 1/8% Sr Sub Nts 15 B1 Moodys Rating (new) Caa1 Caa2 C Caa3 Caa3 B2 Caa2 C Ca Ca Ca B3 Caa2 Caa2 B3 B3 Caa3 Caa3 NR B1 S&P S&P Rating (old) Rating (new) BCCC+ CCC C CC C B BB BBBCCC CCC CCCCC CCC CCC CCC CCC CCC CCC BCCC+ B+ BCC C B+ B+ B BCCCC CCC CCC CCC+ CCC BB B+ Amount ($ mn) 185.0 325.0 250.0 1,000.0 750.0 300.0 139.4 150.0 744.3 739.8 433.7 420.0 175.0 137.8 400.0 1,050.0 210.5 112.4 400.0 190.0 9,537.9 127.5 500.0 350.0 247.2 875.0 600.0 400.0 150.0 500.0 480.0 450.0 400.0 350.0 300.0 300.0 300.0 293.0 269.9 150.0 132.2 126.7 109.7 85.6 47.4 13.9 850.0 100.0 465.0 1,000.0 525.0 10,498.0
02-Sep-10 08-Sep-10 08-Sep-10 08-Sep-10 08-Sep-10 08-Sep-10 08-Sep-10 14-Sep-10 14-Sep-10 14-Sep-10 14-Sep-10 14-Sep-10 14-Sep-10 14-Sep-10 14-Sep-10 14-Sep-10 14-Sep-10 14-Sep-10 14-Sep-10 14-Sep-10 14-Sep-10 14-Sep-10 14-Sep-10 14-Sep-10 14-Sep-10 14-Sep-10 15-Sep-10 15-Sep-10 20-Sep-10 29-Sep-10
7 1/4% Sr Nts 19 7 5/8% Sr Sub Nts 12 8 3/4% Sr Nts 13 0.000%/10.250% Sr Disc Nts 13 11 1/2% Sr Sec Nts (1st Lien) 17 7 3/8% Sr Nts 16 6 3/4% Sr Nts 14 8 1/2% Sr Nts 16 5 1/4% Sr Nts 14 6 1/2% Sr Nts 16 5 1/4% Sr Nts 15 6 3/8% Sr Nts 33 5 5/7% Sr Nts 14 7 7/8% Sr Nts 32 6 1/4% Sr Nts 13 6% Sr Nts 35 5 1/5% Sr Nts 15 5 1/8% Sr Nts 13 7 5/8% Sr Nts 17 7 7/8% Sr Nts 11 5 4/9% Sr Nts 12 7 1/2% Sr Nts 12 7 7/8% Sr Nts 11 4 5/9% Sr Nts 10 8 1/8% Sr Guar Nts 11 10% Sr Sec Nts (1st Lien) 14 5 1/2% Sr Nts 13 12 1/4% Sr Sec Nts (1st Lien) 15 8 1/2% Sr Nts 18 9% Sr Sec Nts (1st Lien) 12
B2 B1 B3 B3 B1 Ba3 Ba3 B2 B1 B1 B1 B1 B1 B1 B1 B1 B1 B1 B1 B1 B1 B1 B1 B1 B1 Ba3 B2 Caa2 Caa1 B2
B3 B1 B3 B3 Caa1 Ba3 Ba3 C B1 B1 B1 B1 B1 B1 B1 B1 B1 B1 B1 B1 B1 B1 B1 B1 B1 B1 B3 Caa2 Caa1 B2
B BBB B BBB+ BB+ CCC BB BB BB BB BB BB BB BB BB BB BB BB BB BB BB BB BB B+ B+ B B B+
B B+ BBBBB BB CC BBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBB+ B+ BBB
A37
Downgrades
Date 01-Oct-10 04-Oct-10 06-Oct-10 07-Oct-10 08-Oct-10 08-Oct-10 12-Oct-10 12-Oct-10 12-Oct-10 12-Oct-10 12-Oct-10 12-Oct-10 12-Oct-10 12-Oct-10 12-Oct-10 12-Oct-10 12-Oct-10 14-Oct-10 14-Oct-10 14-Oct-10 14-Oct-10 14-Oct-10 14-Oct-10 14-Oct-10 14-Oct-10 14-Oct-10 14-Oct-10 14-Oct-10 15-Oct-10 15-Oct-10 15-Oct-10 21-Oct-10 21-Oct-10 21-Oct-10 21-Oct-10 21-Oct-10 21-Oct-10 21-Oct-10 21-Oct-10 22-Oct-10 26-Oct-10 27-Oct-10 29-Oct-10 Issuer Ultrapetrol (Bahamas) Ardagh Glass Finance BV ICON Health & Fitness Spirit Aerosystems Manitowoc Manitowoc Energy Future Holdings Energy Future Holdings Energy Future Holdings Energy Future Holdings Energy Future Holdings Energy Future Holdings Energy Future Holdings Energy Future Holdings Marsico Parent Company Seneca Gaming Seneca Gaming Lennar Lennar Lennar Lennar Lennar Lennar Lennar Marsico Parent Company Nebraska Book Nebraska Book Nebraska Book Brooklyn Navy Yard LIN Television Norske Skogindustrier BWAY Centercredit International Halyk Savings Bank of Kazakhstan Halyk Savings Bank of Kazakhstan Halyk Savings Bank of Kazakhstan Kazkommerts International Kazkommerts International Kazkommerts International Prestige Brands Stena Sterling Chemicals Ace Cash Express October total: 22 issuers Jarden Corp Jarden Corp Regions Financial Corp Regions Financial Corp Seminole Tribe Indianapolis Downs Penson Worldwide Pregis Corp ITABO Finance SA Moodys Security Rating (old) 9% 1st Mtg Nts 14 B2 9 1/8% Guar Nts 20 B3 11 7/8% Sr Sec Nts (2nd Lien) 16 B2 7 1/2% Sr Nts 17 B2 9 1/2% Sr Nts 18 Caa1 7 1/8% Sr Nts 13 Caa1 10 1/4% Sr Nts 15 Caa2 11 1/4% Sr Toggle Nts 16 Caa2 10 1/4% Sr Nts 15 Caa2 10% Sr Sec Nts 20 Caa3 12% Sr Toggle Nts 17 Caa3 10 7/8% Sr Nts 17 Caa3 7 1/2% Sec Nts (1st Lien) 17 Caa2 7 1/2% Sec Nts (1st Lien) 15 Caa2 10 5/8% Sr Sub Nts 16 Ca 7 1/4% Sr Nts 12 Ba2 7 1/4% Sr Nts 12 Ba2 5 3/5% Sr Nts 15 B3 12 1/4% Sr Nts 17 B3 6% Sr Nts 13 B3 5 1/2% Sr Nts 14 B3 6 1/2% Sr Guar Nts 16 B3 7% Sr Nts 18 B3 6% Sr Guar Nts 11 B3 12 1/2% Sr Nts 16 Ca 10% Sr Sec Nts (2nd Lien) 11 B1 8 5/8% Sr Sub Nts 12 Caa1 0.000%/11.000% Sr Disc Nts 13 Caa2 7 3/7% Bds 20 Ba3 8 3/8% Sr Nts 18 Ba3 6 1/8% Sr Nts 15 B2 10% Sr Nts 18 B3 8 5/8% Guar Bds 14 Ba3 7 1/4% Guar Nts 17 Ba2 9 1/4% Sr Nts 13 Ba2 7 3/4% Nts 13 Ba2 7 1/2% Guar Bds 16 Ba3 8% Guar Sr Nts 15 Ba3 7 7/8% Sr Nts 14 Ba3 8 1/4% Sr Nts 18 B3 7% Sr Nts 16 Ba2 10 1/4% Sr Sec Nts 15 B2 10 1/4% Sr Nts 14 Caa1 Moodys Rating (new) B2 B3 B2 B2 Caa1 Caa1 Caa3 Caa3 Caa3 Ca Ca Ca Caa3 Caa3 Ca B1 B1 B3 B3 B3 B3 B3 B3 B3 C B2 Caa2 Caa3 Ba3 B2 B2 B3 B1 Ba3 Ba3 Ba3 B2 B2 B2 B3 Ba3 B3 Caa1 S&P S&P Rating (old) Rating (new) B BBBBB BBB BBBBB+ BBB+ CCC CCC CCC CCC CCC CCC B+ B+ CCC+ CCC+ CCC+ CCC+ BB BB CCC CCC CCCCC BB BB BB BB BBB+ BBB+ BBB+ BBB+ BBB+ BBB+ BBB+ CCC NR B B CCC CCC CCC CCC BB B+ BBBBB+ BBCCC+ NR NR B+ B+ B+ B+ B+ B+ B B B B B B B+ B BB+ BB+ BNR BCCC+ Amount ($ mn) 180.0 450.0 205.0 300.0 400.0 150.0 2,944.1 2,032.4 1,912.8 946.0 778.0 387.4 60.8 42.1 600.0 300.0 200.0 500.0 400.0 267.7 250.0 250.0 250.0 114.2 549.8 200.0 175.0 77.0 56.8 200.0 181.3 205.0 490.0 700.0 500.0 300.0 356.2 270.2 255.4 150.0 129.0 123.0 175.0 19,014.2 650.0 275.0 700.0 500.0 280.0 72.6 200.0 150.0 106.0
02-Nov-10 02-Nov-10 02-Nov-10 02-Nov-10 02-Nov-10 04-Nov-10 04-Nov-10 04-Nov-10 05-Nov-10

7 1/2% Sr Sub Nts 17 7 1/2% Sr Sub Nts 20 7 3/4% Sr Nts 14 5 3/4% Sr Nts 15 6 1/2% Sr Sec Bds 20 15 1/2% Sr Sub Toggle Nts 13 12 1/2% Sr Sec Nts (2nd Lien) 17 12 3/8% Sr Sub Nts 13 10 7/8% Guar Nts 13
B1 B1 Baa3 Baa3 Baa3 Ca B1 Caa2 NR
B2 B2 Ba3 Ba3 Ba1 Ca B1 Caa2 NR
B B BBBBBBBBBCC BBCCC+ B
B B BB+ BB+ BBBC B+ CCC B-
Downgrades
Date 08-Nov-10 08-Nov-10 08-Nov-10 09-Nov-10 09-Nov-10 09-Nov-10 09-Nov-10 09-Nov-10 12-Nov-10 12-Nov-10 15-Nov-10 17-Nov-10 17-Nov-10 17-Nov-10 17-Nov-10 18-Nov-10 18-Nov-10 18-Nov-10 22-Nov-10 22-Nov-10 22-Nov-10 23-Nov-10 23-Nov-10 24-Nov-10 24-Nov-10 24-Nov-10 26-Nov-10 26-Nov-10 26-Nov-10 26-Nov-10 26-Nov-10 26-Nov-10 29-Nov-10 30-Nov-10 30-Nov-10 Issuer AES AES Tops Markets Clearwire Communications Clearwire Communications Frac Tech Services Stone Energy Stone Energy Coso Geothermal Power Grupo Posadas SAB de CV Aldar Properties Regions Financial Corp Regions Financial Corp Regions Financial Corp Regions Financial Corp Allen Systems Group Lifecare Holdings Petroleum Development Corporation Warner Music Group Warner Music Group Warner Music Group Regions Financial Corp Regions Financial Corp Sabine Pass LNG Sabine Pass LNG Sabine Pass LNG Mohegan Tribal Gaming Authority Mohegan Tribal Gaming Authority Mohegan Tribal Gaming Authority Mohegan Tribal Gaming Authority Mohegan Tribal Gaming Authority NXP BV American Reprographics Hapag-Lloyd Murray Energy November total: 27 issuers Total downgrades: 233 issuers
Moodys Security Rating (old) 8 1/2% Sr Sec Nts (1st Lien) 19 B1 9 1/5% Sr Sec Nts (1st Lien) 29 B1 10 1/8% Sr Sec Nts 15 B3 12% Sr Sec Nts (1st Lien) 15 Caa1 12% Sr Sec Nts (1st Lien) 15 Caa1 7 1/8% Sr Nts 18 B2 8 5/8% Sr Nts 17 Caa1 6 3/4% Sr Sub Nts 14 Caa2 7% Bds 26 Ba1 9 1/4% Sr Nts 15 B2 8 3/4% Sr Nts 14 B1 4 3/8% Sr Nts 10 Ba1 4 6/7% Sub Nts 13 Ba1 5 1/5% Sub Nts 15 Ba1 4 7/8% Sr Nts 13 Ba1 10 1/2% Sr Sec Nts (2nd Lien) 16 B2 9 1/4% Sr Sub Nts 13 Caa3 12% Sr Nts 18 B3 9 1/2% Sr Sec Nts (1st Lien) 16 Ba2 7 3/8% Sr Sub Nts 14 B1 0.000%/9.500% Sr Disc Nts 14 B1 7 1/2% Sub Nts 18 Ba3 6 4/9% Sub Nts 37 Ba3 7 1/2% Sr Sec Nts (1st Lien) 16 B2 7 1/4% Sr Sec Nts (1st Lien) 13 B2 7 1/2% Sr Sec Nts (1st Lien) 16 B2 8% Sr Sub Nts 12 Caa2 6 1/8% Sr Nts 13 B2 7 1/8% Sr Sub Nts 14 Caa2 11 1/2% Sr Sec Nts (2nd Lien) 17 B1 6 7/8% Sr Sub Nts 15 Caa2 9 3/4% Sr Sec Nts (1st Lien) 18 Caa1 10 1/2% Sr Nts 16 B1 9 3/4% Guar Nts 17 B2 10 1/4% Sr Sec Nts 15 B2
Moodys Rating (new) B2 B2 Caa1 Caa1 Caa1 B2 Caa1 Caa2 B1 B2 B1 Ba3 Ba3 Ba3 Ba3 B3 Caa3 B3 Ba2 B1 B1 Ba3 Ba3 B3 B3 B3 Caa3 Caa1 Caa3 B3 Caa3 Caa2 B1 B3 B3
S&P S&P Rating (old) Rating (new) BBBBBBBBB B BCCC BCCC B+ BBBB BCCC+ NR NR B+ BBBB BBBBB+ BBBBB+ BBBBB+ BBBBB+ B B CCCC B BBB BBB BB BBBBBB+ BBBBB+ B+ B+ B+ B+ B+ B+ CCC+ CC CCC+ CC CCC+ CC BCCCCCC+ CC BBBBB+ B B B+ B+
Amount ($ mn) 162.9 160.0 350.0 1,600.0 920.0 550.0 275.0 200.0 584.3 200.0 1,250.0 500.0 500.0 350.0 250.0 300.0 147.0 203.0 1,100.0 465.0 257.9 750.0 500.0 1,482.0 550.0 183.5 250.0 250.0 225.0 200.0 150.0 1,000.0 200.0 250.0 540.0 19,789.2 195,829.0
A39
Upgrades
Date 06-Jan-10 06-Jan-10 07-Jan-10 07-Jan-10 07-Jan-10 07-Jan-10 08-Jan-10 08-Jan-10 08-Jan-10 08-Jan-10 08-Jan-10 08-Jan-10 08-Jan-10 08-Jan-10 08-Jan-10 08-Jan-10 08-Jan-10 11-Jan-10 11-Jan-10 13-Jan-10 13-Jan-10 13-Jan-10 13-Jan-10 13-Jan-10 14-Jan-10 14-Jan-10 20-Jan-10 22-Jan-10 22-Jan-10 25-Jan-10 26-Jan-10 26-Jan-10 26-Jan-10 26-Jan-10 27-Jan-10 27-Jan-10 27-Jan-10 27-Jan-10 27-Jan-10 27-Jan-10 27-Jan-10 27-Jan-10 27-Jan-10 27-Jan-10 27-Jan-10 27-Jan-10 27-Jan-10 27-Jan-10 27-Jan-10 27-Jan-10 27-Jan-10 27-Jan-10
Issuer Del Monte Del Monte Bio-Rad Laboratories Bio-Rad Laboratories Bio-Rad Laboratories Cellu Tissue Holdings Beazer Homes USA Beazer Homes USA Beazer Homes USA Beazer Homes USA Beazer Homes USA Bill Barrett Corp KAR Holdings KAR Holdings KAR Holdings Ply Gem Industries Yellow Roadway Corp Cooper Tire & Rubber Co Cooper Tire & Rubber Co HeidelbergCement Finance BV HeidelbergCement Finance BV HeidelbergCement Finance BV Jarden Corp Jarden Corp American Greetings ReAble Therapeutics Virgin Media American Achievement Cooper Companies GenCorp Building Materials Central Garden & Pet Noranda Aluminum Acquisition Noranda Aluminum Acquisition Ahern Rentals Inc GMAC GMAC GMAC GMAC GMAC GMAC GMAC GMAC GMAC GMAC GMAC GMAC GMAC GMAC GMAC GMAC GMAC
Security 7 1/2% Sr Sub Nts 19 6 3/4% Sr Sub Nts 15 8% Sr Sub Nts 16 7 1/2% Sr Sub Nts 13 6 1/8% Sr Sub Nts 14 11 1/2% Sr Sec Nts 14 8 3/8% Sr Nts 12 6 7/8% Sr Nts 15 8 1/8% Sr Nts 16 6 1/2% Sr Nts 13 8 5/8% Sr Nts 11 9 7/8% Sr Nts 16 8 3/4% Sr Nts 14 10% Sr Sub Nts 15 FLOAT Sr Nts 14 11 3/4% Sr Sec Nts 13 8 1/2% Sr Nts 10 8% Nts 19 7 5/8% Nts 27 7 7/8% Sr Nts 10 5 1/4% Sr Nts 13 6 1/8% Sr Nts 16 7 1/2% Sr Sub Nts 17 8% Sr Nts 16 7 3/8% Sr Nts 16 10 7/8% Sr Nts 14 9 1/2% Sr Nts 16 14 3/4% Sr Nts 12 7 1/8% Guar Nts 15 9 1/2% Sr Sub Nts 13 7 3/4% Sr Nts 14 9 1/8% Sr Sub Nts 13 FLOAT Sr Nts 15 FLOAT Sr Nts 14 9 1/4% Sr Sec Nts 13 8% Sr Guar Nts 31 6 7/8% Nts 11 8% Bds 31 7 1/4% Sr Guar Nts 11 6 7/8% Nts 12 7 1/4% Nts 11 7 1/2% Sr Guar Nts 13 6 3/4% Nts 14 0% Debs 15 0% Debs 12 8% Sub Nts 18 7% Nts 12 5 3/4% Sr Guar Nts 10 6 5/8% Sr Guar Nts 12 6 5/8% Sr Nts 12 6% Debs 11 6% Sr Guar Nts 12
Moodys Rating (old) B1 B1 Ba3 Ba3 Ba3 B2 Caa2 Caa2 Caa2 Caa2 Caa2 B1 B3 Caa1 B3 Caa1 Ca Caa1 Caa1 B1 B1 B1 B3 B2 B1 Caa1 B2 Caa3 Ba3 B1 Ba3 Caa1 Caa2 Caa3 Ca Ca Ca Ca Ca Ca Ca Ca Ca Ca Ca Ca Ca Ca Ca Ca Ca Ca
Moodys Rating (new) Ba3 Ba3 Ba2 Ba2 Ba2 B1 Caa2 Caa2 Caa2 Caa2 Caa2 B1 B3 Caa1 B3 Caa1 Caa3 B3 B3 B1 B1 B1 B1 Ba3 Ba3 B3 Ba1 Caa3 Ba3 B1 Ba3 B3 B3 Caa2 Caa3 B3 B3 B3 B3 B3 B3 B3 B3 B3 B3 B3 B3 B3 B3 B3 B3 B3
S&P S&P Rating (old) Rating (new) BBBB BBBB BB+ BBBBB+ BBBBB+ BBBB+ B+ D CCC D CCCD CCC D CCC D CC B+ BBCCC CCC+ CCC CCC+ CCC CCC+ CCC BC CC B BBB BBB+ BBB+ BBB+ BBBB B+ BBB+ BB+ BBB BB+ C CCC BBBB CCCCCC BB BBBCCC+ BCCCCCC+ CCCCCC CCC+ CCC+ CCC B CCC B CCC B CCC B CCC B CCC B CCC B CCC B CCC B CCC B CC CCC+ CCC B CCC B CCC B CCC B CCC B CCC B
Amount ($ mn) 450.0 250.0 300.0 225.0 200.0 255.0 312.6 283.8 219.0 169.5 127.3 250.0 450.0 425.0 150.0 700.0 150.0 173.6 116.9 750.0 750.0 750.0 650.0 300.0 200.0 575.0 180.0 222.5 350.0 97.5 250.0 150.0 528.7 220.0 290.0 1,995.0 1,102.1 932.5 802.2 801.3 797.1 687.6 555.9 532.5 514.0 482.9 455.2 448.9 407.3 386.3 225.7 129.3
A40
Upgrades
Date 27-Jan-10 27-Jan-10 27-Jan-10 27-Jan-10 27-Jan-10 27-Jan-10 27-Jan-10 27-Jan-10 27-Jan-10 27-Jan-10 27-Jan-10 27-Jan-10 27-Jan-10 27-Jan-10 27-Jan-10 27-Jan-10 28-Jan-10 28-Jan-10 28-Jan-10 28-Jan-10 28-Jan-10 28-Jan-10 28-Jan-10 Issuer GMAC GMAC GMAC GMAC GMAC Residential Capital Corporation Residential Capital Corporation Residential Capital Corporation Residential Capital Corporation Residential Capital Corporation Residential Capital Corporation Sirius XM Radio Sirius XM Radio Sirius XM Radio Sirius XM Radio Sonic Automotive GMAC GMAC GMAC GMAC GMAC GMAC GMAC January total: 26 issuers Sensata Technologies Avis Budget Car Rental Avis Budget Car Rental Avis Budget Car Rental Team Health Encore Acquisition Corp Encore Acquisition Corp Encore Acquisition Corp Encore Acquisition Corp Dole Food Dole Food Hexion Hexion Hexion Hexion Hexion Sistema Capital SA Ventas Realty Ventas Realty Ventas Realty Ventas Realty Ventas Realty Ventas Realty Affiliated Computer Services Affiliated Computer Services Mueller Water Products Chaparral Energy Security 6% Sr Nts 11 6% Sr Guar Nts 11 FLOAT Nts 14 6 5/8% Sr Guar Nts 10 5 3/4% Sr Guar Nts 10 9 5/8% Sr Nts 15 6 3/8% Nts 10 6 1/2% Sr Nts 13 6% Guar Nts 11 6 7/8% Nts 15 6.500%/7.500% Nts 12 13% Sr Nts 13 11 1/4% Sr Sec Nts 13 9 2/3% Sr Nts 13 9 3/4% Sr Sec Nts 15 8 5/8% Sr Sub Nts 13 6 7/8% Sr Guar Nts 11 6 7/8% Sr Guar Nts 12 6 3/4% Sr Guar Nts 14 5 3/8% Sr Guar Nts 11 6% Sr Guar Nts 11 7% Sr Guar Nts 12 8 7/8% Debs 10 Moodys Rating (old) Ca Ca Ca Ca Ca C C C C C C Ca Caa2 Ca Caa2 Caa3 Ca Ca Ca Ca Ca Ca Ca Moodys Rating (new) B3 B3 B3 B3 B3 C C C C C C B3 Ba3 Caa2 Ba3 Caa1 B3 B3 B3 B3 B3 B3 B3 S&P S&P Rating (old) Rating (new) CCC B CCC B CCC B CCC B CCC B CC CCC+ CC CCC+ CC CCC+ CC CCC+ CC CCC+ CC CCC+ CCC B+ B+ BB CCC+ BB+ BB CCCBCCC B CCC B CCC B CCC B CCC B CCC B CC B Amount ($ mn) 128.0 122.6 122.1 48.8 34.3 2,120.5 823.7 473.4 208.4 112.4 79.9 778.5 525.8 500.0 257.0 275.0 3,087.8 784.7 764.7 570.4 562.3 357.5 15.1 35,480.1 340.0 375.0 375.0 250.0 215.0 300.0 225.0 150.0 150.0 155.0 70.0 533.0 188.4 120.0 74.0 61.5 92.7 225.0 200.0 200.0 167.2 82.4 76.9 250.0 250.0 425.0 325.0
01-Feb-10 02-Feb-10 02-Feb-10 02-Feb-10 02-Feb-10 03-Feb-10 03-Feb-10 03-Feb-10 03-Feb-10 04-Feb-10 04-Feb-10 04-Feb-10 04-Feb-10 04-Feb-10 04-Feb-10 04-Feb-10 05-Feb-10 05-Feb-10 05-Feb-10 05-Feb-10 05-Feb-10 05-Feb-10 05-Feb-10 08-Feb-10 08-Feb-10 08-Feb-10 09-Feb-10
8% Sr Nts 14 7 5/8% Sr Nts 14 7 3/4% Sr Nts 16 FLOAT Sr Nts 14 11 1/4% Sr Sub Nts 13 6% Sr Sub Nts 15 9 1/2% Sr Sub Nts 16 6 1/4% Sr Sub Nts 14 7 1/4% Sr Sub Nts 17 8 3/4% Debs 13 8 7/8% Sr Nts 11 9 3/4% Sr Nts 14 7 7/8% Debs 23 FLOAT Sec Nts 14 9 1/5% Debs 21 8 3/8% Debs 16 8 7/8% Nts 11 6 3/4% Sr Nts 17 6 1/2% Sr Nts 16 6 1/2% Guar Nts 16 7 1/8% Sr Nts 15 9% Sr Nts 12 6 5/8% Sr Nts 14 4 5/7% Nts 10 5 1/5% Nts 15 7 3/8% Sr Sub Nts 17 8 1/2% Sr Nts 15
Caa2 Caa1 Caa1 Caa1 Caa1 B1 B1 B1 B1 Caa1 Caa1 Caa1 Caa2 Caa1 Caa2 Caa2 B2 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba2 Ba2 Caa1 Ca
Caa1 B3 B3 B3 B3 B1 B1 B1 B1 B3 B3 Caa1 Caa2 Caa1 Caa2 Caa2 Ba3 Baa3 Baa3 Baa3 Baa3 Baa3 Baa3 Baa3 Baa3 B3 Caa1
CCCCCC CCC CCC B B B B B BBCCC CCC CCC CCC CCC BB BBBBBBBBBBBBBBBBBBBB BB BCCC+
CCC+ B B B B BB BB BB BB BBCCC+ CCC+ CCC+ CCC+ CCC+ BB BBBBBBBBBBBBBBBBBBBBBBBBBB+
A41
Upgrades
Date 09-Feb-10 09-Feb-10 09-Feb-10 09-Feb-10 11-Feb-10 11-Feb-10 12-Feb-10 12-Feb-10 12-Feb-10 12-Feb-10 12-Feb-10 16-Feb-10 16-Feb-10 16-Feb-10 17-Feb-10 17-Feb-10 17-Feb-10 17-Feb-10 17-Feb-10 17-Feb-10 17-Feb-10 18-Feb-10 19-Feb-10 22-Feb-10 22-Feb-10 23-Feb-10 25-Feb-10 25-Feb-10 25-Feb-10 25-Feb-10 25-Feb-10 25-Feb-10 Issuer Chaparral Energy Citigroup Harrah's Operating Star Gas Partners O Charleys Spectrum Brands McClatchy McClatchy McClatchy McClatchy McClatchy Tenneco Automotive Tenneco Automotive Tenneco Automotive American Axle & Manufacturing American Axle & Manufacturing American Axle & Manufacturing Owens-Illinois Owens-Illinois Owens-Illinois Owens-Illinois Williams Companies NewMarket Corp Wyndham Worldwide Wyndham Worldwide Bear Creek Allbritton Communications Celestica International Lamar Media Lamar Media Lamar Media Lamar Media February total: 27 issuers International Coal Solutia AMR/Emcare Holdco DirecTV Holdings/Finance DirecTV Holdings/Finance DirecTV Holdings/Finance DirecTV Holdings/Finance Ford Motor Company Ford Motor Company Ford Motor Company Ford Motor Company Ford Motor Company Ford Motor Company Ford Motor Company Ford Motor Company Ford Motor Company Ford Motor Company Ford Motor Company Ford Motor Company Moodys Security Rating (old) 8 7/8% Sr Nts 17 Ca 7 5/8% Trust Pfd Secs 36 Baa3 10% Sr Sec Nts (2nd Lien) 18 Ca 10 1/4% Sr Nts 13 Caa3 9% Sr Sub Nts 13 Caa1 12% Sr Sub Toggle Nts 19 Caa2 5 3/4% Sr Nts 17 Caa3 6 7/8% Debs 29 Caa3 7 1/8% Sr Unsub 11 Caa3 4 5/8% Sr Nts 14 Caa3 7 1/7% Debs 27 Caa3 8 5/8% Sr Sub Nts 14 Caa2 8 1/8% Sr Nts 15 B3 10 1/4% Sr Sec Nts (2nd Lien) 13 B1 9 1/4% Sr Sec Nts (1st Lien) 17 B2 7 7/8% Sr Nts 17 Caa3 5 1/4% Sr Guar Nts 14 Caa3 7 3/8% Sr Nts 16 Ba3 8 1/4% Sr Nts 13 Ba3 6 3/4% Sr Nts 14 Ba3 7 4/5% Sr Debs 18 B2 7 1/2% Sr Nts 11 Ba2 7 1/8% Sr Nts 16 Ba3 6% Sr Nts 16 Ba2 9 7/8% Sr Nts 14 Ba2 9% Sr Nts 13 Ca 7 3/4% Sr Sub Nts 12 Caa1 7 5/8% Sr Sub Nts 13 B2 6 5/8% Sr Sub Nts 15 B2 7 1/4% Sr Sub Nts 13 B2 6 5/8% Sr Sub Nts 15 B2 6 5/8% Sr Sub Nts 15 B2 Moodys Rating (new) Caa1 Baa3 Caa1 B3 B3 Caa1 Caa2 Caa2 Caa2 Caa2 Caa2 Caa1 B2 Ba3 Ba2 B3 B3 Ba3 Ba3 Ba3 B1 Baa3 Ba2 Ba1 Ba1 Ca B3 B2 B1 B2 B1 B1 S&P S&P Rating (old) Rating (new) CCC+ B+ B+ BBCCCCCC CCC+ BBB CCC CCC+ C CCC C CCC C CCC C CCC C CCC CCC CCC+ BB B B+ BBBCCCBCCCBBB BB+ BB BB+ BB BB+ B+ BBBBBBBBBBBB+ BBBBBBBBBBBBC CCCBB BBBB B B+ B B+ B B+ B B+ Amount ($ mn) 325.0 194.1 3,705.5 137.1 125.0 218.1 320.8 252.1 166.2 154.0 82.0 500.0 250.0 245.0 425.0 300.0 250.0 600.0 450.0 400.0 250.0 150.0 150.0 800.0 250.0 140.2 454.2 223.1 400.0 385.0 275.0 216.0 18,669.2 175.0 400.0 250.0 1,500.0 1,000.0 1,000.0 1,000.0 3,500.0 3,000.0 3,000.0 2,500.0 2,000.0 1,750.0 1,520.7 1,500.0 1,500.0 1,250.0 1,100.0 1,100.0
02-Mar-10 02-Mar-10 04-Mar-10 04-Mar-10 04-Mar-10 04-Mar-10 04-Mar-10 04-Mar-10 04-Mar-10 04-Mar-10 04-Mar-10 04-Mar-10 04-Mar-10 04-Mar-10 04-Mar-10 04-Mar-10 04-Mar-10 04-Mar-10 04-Mar-10
10 1/4% Sr Nts 14 8 3/4% Sr Nts 17 10% Sr Sub Nts 15 7 5/8% Sr Nts 16 6 3/8% Sr Nts 15 4 3/4% Sr Nts 14 5 7/8% Sr Nts 19 7 1/4% Sr Nts 11 7 3/8% Sr Nts 11 7% Sr Nts 13 7 7/8% Sr Nts 10 FLOAT Sr Nts 12 7 1/2% Sr Nts 12 9 3/4% Sr Nts 10 9 7/8% Sr Nts 11 8% Sr Nts 16 8 1/8% Sr Nts 20 12% Sr Nts 15 8% Sr Nts 14
Caa3 B2 Ba3 Ba2 Ba2 Ba2 Ba2 B3 B3 B3 B3 B3 B3 B3 B3 B3 B3 B3 B3
Caa2 B2 Ba2 Baa3 Baa3 Baa3 Baa3 Ba2 Ba2 Ba2 Ba3 Ba2 Ba2 Ba3 Ba2 Ba2 Ba2 Ba2 Ba2
CCC B B+ BBBBBBBBBBBBBBBBBBBBBBBB-
BB+ B+ BBBBBBBBBBBBB+ B+ B+ BB+ B+ BB+ B+ B+ B+ B+
A42
Upgrades
Date 04-Mar-10 04-Mar-10 04-Mar-10 04-Mar-10 04-Mar-10 04-Mar-10 04-Mar-10 04-Mar-10 04-Mar-10 04-Mar-10 04-Mar-10 04-Mar-10 04-Mar-10 04-Mar-10 05-Mar-10 05-Mar-10 09-Mar-10 09-Mar-10 09-Mar-10 09-Mar-10 09-Mar-10 09-Mar-10 09-Mar-10 09-Mar-10 09-Mar-10 09-Mar-10 09-Mar-10 09-Mar-10 09-Mar-10 10-Mar-10 10-Mar-10 12-Mar-10 12-Mar-10 12-Mar-10 12-Mar-10 12-Mar-10 12-Mar-10 15-Mar-10 15-Mar-10 15-Mar-10 15-Mar-10 15-Mar-10 15-Mar-10 16-Mar-10 16-Mar-10 16-Mar-10 16-Mar-10 16-Mar-10 16-Mar-10 16-Mar-10 17-Mar-10 17-Mar-10 17-Mar-10
Issuer Ford Motor Company Ford Motor Company Ford Motor Company Ford Motor Company IPCS Inc Teck Resources Teck Resources Teck Resources Teck Resources Teck Resources Teck Resources TRW Automotive TRW Automotive TRW Automotive Harvest Operations IPCS Inc Boise Paper Holdings MGM Mirage MGM Mirage MGM Mirage MGM Mirage MGM Mirage MGM Mirage MGM Mirage MGM Mirage MGM Mirage MGM Mirage MGM Mirage MGM Mirage Buckeye Technologies Limited Brands Ashland Interpublic Group Interpublic Group Interpublic Group Interpublic Group Warnaco Group Central Garden & Pet Majapahit Holding BV Majapahit Holding BV Majapahit Holding BV Norske Skog Canada Norske Skog Canada Saks Saks US Steel Corp US Steel Corp US Steel Corp US Steel Corp Viant Holdings Dean Foods Dean Foods Ford Motor Company
Moodys Security Rating (old) 7 4/5% Sr Nts 12 B3 8 2/3% Sr Nts 14 B3 8 5/8% Sr Nts 10 B3 FLOAT Sr Nts 12 B3 FLOAT Sec Toggle Bds 14 Caa1 10 3/4% Sr Sec Nts (1st Lien) 19 Ba2 9 3/4% Sr Sec Nts (1st Lien) 14 Ba2 10 1/4% Sr Sec Nts (1st Lien) 16 Ba2 6 1/8% Sr Nts 35 Ba2 5 3/8% Sr Nts 15 Ba2 7% Sr Nts 12 Ba2 7 1/4% Sr Nts 17 Caa1 7% Sr Nts 14 Caa1 8 7/8% Sr Nts 17 Caa1 7 7/8% Sr Nts 11 Caa1 FLOAT Sr Sec Nts (1st Lien) 13 B1 9% Sr Nts 17 B3 6 5/8% Sr Nts 15 Caa2 8 1/2% Sr Guar Nts 10 Caa2 7 5/8% Sr Nts 17 Caa2 7 1/2% Sr Nts 16 Caa2 6 3/4% Sr Nts 12 Caa2 5 7/8% Sr Nts 14 Caa2 6 3/4% Sr Nts 13 Caa2 11 3/8% Sr Nts 18 Caa2 8 3/8% Sr Sub Nts 11 Ca 6 7/8% Sr Nts 16 Caa2 7 5/8% Sr Sub Nts 13 Ca 6 3/8% Sr Nts 11 Caa2 8 1/2% Sr Nts 13 B1 8 1/2% Sr Nts 19 Ba2 9 1/8% Sr Nts 17 Ba3 10% Sr Nts 17 Ba3 6 1/4% Sr Nts 14 Ba3 FLOAT Sr Nts 10 Ba3 7 1/4% Sr Nts 11 Ba3 8 7/8% Sr Nts 13 Ba3 8 1/4% Sr Sub Nts 18 B3 7 3/4% Sr Nts 20 Ba2 8% Sr Nts 19 Ba2 7 1/4% Sr Nts 17 Ba2 7 3/8% Sr Nts 14 Caa2 8 5/8% Sr Nts 11 Caa2 9 7/8% Sr Nts 11 Caa1 7 1/2% Sr Guar Nts 10 Caa1 7% Sr Nts 18 Ba3 6% Sr Nts 17 Ba3 6 2/3% Sr Nts 37 Ba3 5 2/3% Sr Nts 13 Ba3 10 1/8% Sr Sub Nts 17 Caa1 7% Sr Nts 16 B3 7% Sr Nts 17 B3 7 4/9% Sr Nts 31 Caa1
Moodys Rating (new) Ba2 Ba2 Ba2 Ba2 Ba3 Baa3 Baa3 Baa3 Baa3 Baa3 Baa3 B2 B2 B3 Ba1 Ba2 B2 Caa1 Caa1 Caa1 Caa1 Caa1 Caa1 Caa1 Caa1 Caa3 Caa1 Caa3 Caa1 Ba3 Ba1 Ba1 Ba2 Ba2 Ba2 Ba2 Ba2 B2 Ba2 Ba2 Ba2 Caa2 Caa2 B3 B3 Ba2 Ba2 Ba2 Ba2 Caa1 B2 B2 Ba3
S&P S&P Rating (old) Rating (new) BB+ BB+ BB+ BB+ B+ BBBB+ BBB BB+ BBB BB+ BBB BB+ BBB BB+ BBB BB+ BBB BBB BBB BB+ CCC BBBBBBBBBB CCC+ CCC+ CCC+ CCC+ CCC+ CCC+ CCC+ CCC+ CCC+ CCC+ CCC+ CCC+ CCC+ CCC+ CCC+ CCC+ CCCCCCCCC+ CCC+ CCCCCCCCC+ CCC+ BBBB BB BB BBBB B+ BB B+ BB B+ BB B+ BB BB+ BB+ B B BBBB BBBB BBBB C CCCC CCCBB+ BB+ BB BB BB BB BB BB BB BB CCC+ BB B B B CCC B
Amount ($ mn) 1,000.0 1,000.0 500.0 224.4 181.2 1,850.0 1,315.0 1,060.0 700.0 300.0 200.0 562.0 488.0 250.0 250.0 300.0 300.0 872.5 782.0 743.0 732.7 550.0 508.9 476.1 475.0 400.0 237.9 150.0 132.4 165.0 500.0 650.0 600.0 350.0 213.7 36.3 110.9 400.0 1,250.0 750.0 500.0 250.0 35.5 141.6 22.9 500.0 450.0 350.0 300.0 185.0 500.0 150.0 1,793.5
A43
Upgrades
Date 17-Mar-10 17-Mar-10 17-Mar-10 17-Mar-10 17-Mar-10 17-Mar-10 17-Mar-10 17-Mar-10 17-Mar-10 17-Mar-10 17-Mar-10 17-Mar-10 17-Mar-10 17-Mar-10 17-Mar-10 17-Mar-10 17-Mar-10 17-Mar-10 18-Mar-10 19-Mar-10 19-Mar-10 19-Mar-10 19-Mar-10 22-Mar-10 22-Mar-10 22-Mar-10 22-Mar-10 22-Mar-10 22-Mar-10 23-Mar-10 23-Mar-10 23-Mar-10 23-Mar-10 23-Mar-10 24-Mar-10 24-Mar-10 24-Mar-10 24-Mar-10 24-Mar-10 24-Mar-10 25-Mar-10 25-Mar-10 26-Mar-10 26-Mar-10 26-Mar-10 26-Mar-10 26-Mar-10 26-Mar-10 26-Mar-10 26-Mar-10 26-Mar-10 26-Mar-10 26-Mar-10 26-Mar-10
Issuer Ford Motor Company Ford Motor Company Ford Motor Company Ford Motor Company Ford Motor Company Ford Motor Company Ford Motor Company Ford Motor Company Ford Motor Company Ford Motor Company Ford Motor Company Ford Motor Company Ford Motor Company Ford Motor Company Ford Motor Company Ford Motor Company Ford Motor Company Neenah Paper Sirius XM Radio Centene Corp Chiquita Brands International Chiquita Brands International W&T Offshore Amkor Technologies Amkor Technologies Amkor Technologies MetroPCS MetroPCS Skilled Healthcare Group Consol Energy E-Trade Financial E-Trade Financial E-Trade Financial Kabelmedia Holdings Linn Energy Linn Energy NXP BV NXP BV NXP BV NXP BV Alion Science and Technology Orascom Telecom Finance Cable & Wireless Plc Georgia-Pacific Georgia-Pacific Georgia-Pacific Georgia-Pacific Georgia-Pacific Georgia-Pacific Georgia-Pacific Georgia-Pacific Georgia-Pacific Georgia-Pacific Georgia-Pacific
Moodys Security Rating (old) 6 5/8% Bds 28 Caa1 7 2/5% Debs 46 Caa1 9 1/3% Sr Guar Nts 30 Caa1 6 1/2% Bds 18 Caa1 9 1/2% Debs 10 Caa1 6 3/8% Debs 29 Caa1 7 1/8% Debs 25 Caa1 7 1/2% Debs 26 Caa1 9 2/9% Debs 21 Caa1 10% Debs 47 Caa1 9 1/2% Debs 11 Caa1 9% Debs 32 Caa1 7 5/7% Debs 97 Caa1 9 3/8% Debs 20 Caa1 6 5/8% Bds 28 Caa1 8 7/8% Debs 22 Caa1 7 3/4% Debs 43 Caa1 7 3/8% Sr Nts 14 B2 8 3/4% Sr Nts 15 Caa2 7 1/4% Sr Nts 14 Ba3 8 7/8% Sr Nts 15 Caa2 7 1/2% Sr Nts 14 Caa2 8 1/4% Sr Nts 14 Caa1 9 1/4% Sr Nts 16 B2 7 3/4% Sr Nts 13 B2 7 1/8% Sr Nts 11 B2 9 1/4% Sr Nts 14 B3 9 1/4% Sr Nts 14 B3 11% Sr Sub Nts 14 Caa1 7 7/8% Sr Sec Nts 12 Ba1 12 1/2% Sr Toggle Nts 17 NR 7 3/8% Sr Nts 13 B3 7 7/8% Sr Nts 15 B3 10 5/8% Sr Sec Nts (2nd Lien) 14 B2 9 7/8% Sr Nts 18 B3 11 3/4% Sr Nts 17 B3 FLOAT Sr Sec Nts (1st Lien) 13 C 9 1/2% Sr Nts 15 C 7 7/8% Sr Sec Nts (1st Lien) 14 C 10% Sr Sec Nts 13 C 10 1/4% Sr Nts 15 Ca 7 7/8% Sr Nts 14 Caa1 7 3/4% Sr Sec Nts (1st Lien) 17 Ba2 7 1/8% Sr Nts 17 Ba3 8 1/4% Sr Nts 16 Ba3 8 1/8% Sr Nts 11 B2 7 3/4% Sr Nts 29 B2 8% Sr Nts 24 B2 7% Sr Nts 15 Ba3 8 7/8% Sr Nts 31 B2 7 1/4% Debs 28 B2 9 1/2% Debs 11 B2 7 3/8% Debs 25 B2 7 5/7% Debs 15 B2
Moodys Rating (new) Ba3 Ba3 Ba3 Ba3 B2 Ba3 Ba3 Ba3 Ba3 Ba3 Ba3 Ba3 Ba3 Ba3 Ba3 Ba3 Ba3 B2 B3 Ba2 Caa1 Caa1 Caa1 Ba3 Ba3 Ba3 B2 B2 Caa1 Baa3 NR B3 B3 B1 B2 B2 B3 Caa2 B3 C Caa2 Caa1 Ba2 Ba2 Ba2 Ba3 Ba3 Ba3 Ba2 Ba3 Ba3 Ba3 Ba3 Ba3
S&P S&P Rating (old) Rating (new) CCC B CCC B CCC B CCC B CCC CCC CCC B CCC B CCC B CCC B CCC B CCC B CCC B CCC B CCC B CCC B CCC B CCC B B+ BBBB+ BBBBB B B B B B+ B+ BBB+ B+ B+ B+ B B B B BCCC+ BBB BBB CCC CCC+ CCC CCC+ CCC CCC+ B BBBB BB CC BCC CCC+ CC BBB+ CCC CCC CCCCCC BBBB BB+ BBB BB+ BBB BB BBBBB BBBBB BBBBB+ BBB BB BBBBB BBBBB BBBBB BBBBB BBB-
Amount ($ mn) 637.8 398.3 366.5 360.6 334.4 260.5 208.6 193.4 183.1 181.2 166.9 151.3 142.2 133.5 103.6 85.9 72.7 225.0 800.0 175.0 189.0 160.0 450.0 390.0 358.2 53.6 1,400.0 550.0 130.0 250.0 930.2 414.7 243.2 610.0 255.9 250.0 1,259.4 948.5 913.9 89.9 250.0 750.0 500.0 750.0 750.0 600.0 500.0 500.0 500.0 400.0 300.0 250.0 250.0 250.0
A44
Upgrades
Date 26-Mar-10 26-Mar-10 26-Mar-10 26-Mar-10 26-Mar-10 26-Mar-10 26-Mar-10 29-Mar-10 29-Mar-10 29-Mar-10 29-Mar-10 29-Mar-10 29-Mar-10 29-Mar-10 29-Mar-10 30-Mar-10 30-Mar-10 30-Mar-10 30-Mar-10 30-Mar-10 30-Mar-10 30-Mar-10 30-Mar-10 Issuer Reddy Ice Standard Pacific Standard Pacific Standard Pacific Standard Pacific Standard Pacific Standard Pacific Allied Capital Corp Allied Capital Corp Deluxe Corp Global Crossing Holding Markwest Energy Partners Markwest Energy Partners Markwest Energy Partners Markwest Energy Partners Brown Shoe Company Continental Resources Freedom Group Virgin Media Virgin Media Virgin Media Virgin Media Virgin Media March total: 52 issuers Reddy Ice Affinity Group Linn Energy Nexstar Broadcasting Verso Paper Holdings Verso Paper Holdings Verso Paper Holdings Verso Paper Holdings Dole Food JC Penney JC Penney JC Penney JC Penney JC Penney JC Penney JC Penney JC Penney JC Penney Valeant Pharmaceuticals Metals USA Metals USA Harrah's Operating Harrah's Operating Harrah's Operating Harrah's Operating Harrah's Operating Harrah's Operating Harrah's Operating Harrah's Operating Moodys Security Rating (old) 0.000%/10.500% Sr Disc Nts 12 Caa1 7% Sr Nts 15 Caa1 6 1/4% Sr Nts 14 Caa1 7 3/4% Sr Nts 13 Caa1 9 1/4% Sr Sub Nts 12 Caa3 6 7/8% Sr Nts 11 Caa1 6 1/2% Sr Nts 10 Caa1 6 5/8% Sr Nts 11 B1 6% Sr Nts 12 B1 7 3/8% Sr Nts 15 Ba2 12% Sr Sec Nts 15 B2 8 3/4% Sr Nts 18 B2 8 1/2% Sr Nts 16 B2 6 7/8% Sr Nts 14 B2 6 7/8% Sr Nts 14 B2 8 3/4% Sr Nts 12 B3 8 1/4% Sr Nts 19 B2 10 1/4% Sr Sec Nts (1st Lien) 15 B2 9 1/2% Sr Nts 16 B2 6 1/2% Sr Sec Nts (1st Lien) 18 Ba2 8 3/8% Sr Sub Nts 19 B2 9 1/8% Sr Nts 16 B2 8 3/4% Sr Nts 14 B2 Moodys Rating (new) Caa1 B3 B3 B3 Caa2 B3 B3 Ba1 Ba1 Ba1 B2 B1 B1 B1 B1 B3 B1 Ba3 Ba3 Ba1 Ba3 B1 B1 S&P S&P Rating (old) Rating (new) C CCC CCC BCCC BCCC BCCCCCC+ CCC BCCC BBB BBB BB BBB BBBBBB B+ BBB+ BBB+ BBB+ BBBB+ BB BB B B B B+ BB BB+ B B+ B B+ B B+ Amount ($ mn) 151.0 175.0 150.0 121.6 70.5 48.6 15.0 319.9 195.6 200.0 750.0 500.0 275.0 225.0 150.0 150.0 300.0 200.0 1,350.0 1,000.0 600.0 550.0 89.3 84,954.7 300.0 137.8 1,300.0 50.0 350.0 350.0 300.0 250.0 231.2 700.0 500.0 326.0 300.0 285.0 255.0 230.0 200.0 200.0 365.0 275.0 186.3 2,095.0 809.5 470.5 311.3 246.7 224.0 144.0 92.7
01-Apr-10 05-Apr-10 05-Apr-10 05-Apr-10 05-Apr-10 05-Apr-10 05-Apr-10 05-Apr-10 06-Apr-10 07-Apr-10 07-Apr-10 07-Apr-10 07-Apr-10 07-Apr-10 07-Apr-10 07-Apr-10 07-Apr-10 07-Apr-10 07-Apr-10 12-Apr-10 12-Apr-10 13-Apr-10 13-Apr-10 13-Apr-10 13-Apr-10 13-Apr-10 13-Apr-10 13-Apr-10 13-Apr-10
11 1/4% Sr Sec Nts (1st Lien) 15 9% Sr Sub Nts 12 8 5/8% Sr Nts 20 0.000%/11.375% Sr Disc Nts 13 9 1/8% Sr Sec Nts (2nd Lien) 14 11 1/2% Sr Sec Nts (1st Lien) 14 11 3/8% Sr Sub Nts 16 FLOAT Sr Sec Nts (2nd Lien) 14 13 7/8% Sr Sec Nts 14 6 3/8% Sr Nts 36 7 5/8% Debs 97 7 2/5% Debs 37 5 3/4% Sr Nts 18 8% Debs 17 7 1/8% Debs 23 9% Sr Nts 12 7 2/3% Debs 16 6 7/8% Sr Nts 15 8 3/8% Sr Nts 16 11 1/8% Sr Sec Nts (1st Lien) 15 FLOAT Sr Toggle Nts 12 11 1/4% Sr Sec Nts (1st Lien) 17 10% Sr Sec Nts (2nd Lien) 18 10 3/4% Sr Nts 16 5 5/8% Bds 15 6 1/2% Sr Nts 16 5 1/2% Sr Nts 10 5 3/4% Bds 17 5 3/8% Sr Nts 13
B2 Caa2 B3 Ca B2 Ba2 Caa1 B2 B2 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba3 Caa1 Caa2 Caa1 Ca Ca Ca Ca Ca Ca Ca
B1 Caa2 B2 Caa2 B2 Ba2 Caa1 B2 B1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba3 B3 Caa2 Caa1 Ca Ca Ca Ca Ca Ca Ca
BC B CCC BB+ CCC BB+ BB BB BB BB BB BB BB BB BB B+ CCCCCCBCCCCCCCCCCCCCCCCCCCCC-
BCC B CCC+ B BBCCC+ B BBBB+ BB+ BB+ BB+ BB+ BB+ BB+ BB+ BB+ BBCCC CCC B CCC CCC CCC CCC CCC CCC CCC
A45
Upgrades
Date 13-Apr-10 14-Apr-10 14-Apr-10 14-Apr-10 14-Apr-10 14-Apr-10 15-Apr-10 16-Apr-10 16-Apr-10 16-Apr-10 20-Apr-10 20-Apr-10 20-Apr-10 20-Apr-10 20-Apr-10 20-Apr-10 20-Apr-10 21-Apr-10 21-Apr-10 21-Apr-10 21-Apr-10 21-Apr-10 21-Apr-10 22-Apr-10 22-Apr-10 22-Apr-10 22-Apr-10 22-Apr-10 22-Apr-10 22-Apr-10 22-Apr-10 22-Apr-10 22-Apr-10 22-Apr-10 26-Apr-10 27-Apr-10 27-Apr-10 27-Apr-10 27-Apr-10 29-Apr-10 29-Apr-10 29-Apr-10 29-Apr-10 29-Apr-10 Issuer Harrah's Operating Charter Communications Holdings Charter Communications Holdings Charter Communications Holdings Cott Beverages Harrah's Operating Brigham Exploration Apria Healthcare Group SS&C Technologies Valassis Communications KRATON Polymers Limited Brands Limited Brands Limited Brands Limited Brands Limited Brands Park-Ohio Industries Dynegy Rexnord Rexnord Rexnord Rexnord Standard Pacific Bon-Ton Dillards Dillards Dillards Dillards Dillards Dillards Dillards Dillards PolyOne Residential Capital Corporation Terremark Worldwide Agile Property Holdings Agilent Technologies MGIC Investment Corp MGIC Investment Corp Hollywood Park Millar Western Forest Seagate Technology Seagate Technology Seagate Technology April total: 34 issuers Owens-Illinois Popular North America Temple-Inland Inc Temple-Inland Inc Temple-Inland Inc Moodys Security Rating (old) 8 1/8% Sr Sub Nts 11 Ca 8% Sr Sec Nts (2nd Lien) 12 B1 8 3/8% Sr Sec Nts (2nd Lien) 14 B1 10 7/8% Sr Sec Nts (2nd Lien) 14 B1 8 3/8% Sr Nts 17 Caa1 10% Sr Sec Nts (2nd Lien) 15 Ca 9 5/8% Sr Nts 14 Caa3 12 3/8% Sr Sec Nts 14 B1 11 3/4% Sr Sub Nts 13 Caa1 8 1/4% Sr Nts 15 B3 8 1/8% Sr Sub Nts 14 Caa1 7% Sr Nts 17 Ba3 5 1/4% Sr Nts 14 Ba3 7% Sr Nts 33 Ba3 7 3/5% Sr Nts 37 Ba3 6 1/8% Sr Nts 12 Ba3 8 3/8% Sr Sub Nts 14 Caa2 7 1/2% Sr Nts 15 B3 9 1/2% Sr Nts 14 Caa2 11 3/4% Sr Sub Nts 16 Caa3 9 1/2% Sr Nts 14 Caa2 8 7/8% Sr Nts 16 Caa2 10 3/4% Sr Sec Nts 16 Caa1 10 1/4% Sr Nts 14 Caa2 7 1/8% Sr Nts 18 B3 7% Sr Nts 28 B3 7 3/4% Debs 26 B3 6 5/8% Sr Nts 18 B3 7 3/4% Sr Nts 27 B3 7 6/7% Sr Nts 12 B3 9 1/8% Debs 11 B3 7 7/8% Debs 23 B3 8 7/8% Sr Nts 12 B1 8 1/2% Sr Sec Nts (2nd Lien) 10 C 12% Sr Sec Nts (1st Lien) 17 B2 8 7/8% Sr Nts 17 Ba3 6 1/2% Sr Nts 17 Ba1 5 3/8% Sr Nts 15 Caa1 5 5/8% Sr Nts 11 Caa1 8 5/8% Sr Nts 17 B2 7 3/4% Sr Nts 13 Caa1 6 4/5% Sr Nts 16 Ba3 6 3/8% Sr Nts 11 Ba3 10% Sr Sec Nts (2nd Lien) 14 Ba1 Moodys Rating (new) Ca B1 B1 B1 B3 Ca Caa3 B1 B3 Ba3 B3 Ba3 Ba3 Ba3 Ba3 Ba3 Caa1 B2 Caa1 Caa2 Caa1 Caa1 B3 Caa1 B3 B3 B3 B3 B3 B3 B3 B3 Ba3 C B1 Baa3 Baa3 B3 B3 B1 Caa1 Ba1 Ba1 Baa3 S&P S&P Rating (old) Rating (new) CCCCCC BBBB+ BBBB BBBB+ B B CCCCCC CCC+ B+ B+ BBBB+ BBBCCC BBBBB BBBB BBBB BBBB BBBB CCC+ CCC+ BBBBCCC+ CCC+ BBBBCCC CCC CCC CCC+ BB+ BB+ BB+ BB+ BB+ BB+ BB+ BB+ BB+ CCC CCC+ BBBB BB BBBBBBCCC CCC+ CCC CCC+ BB BB CCC+ BB+ B+ B+ B+ BB+ BB+ Amount ($ mn) 12.0 1,100.0 770.0 545.9 215.0 188.2 160.0 317.5 205.0 540.0 170.0 700.0 500.0 350.0 300.0 191.5 192.9 235.0 795.0 300.0 196.3 79.0 280.0 510.0 162.1 145.8 96.0 92.9 80.0 55.4 50.8 44.8 280.0 743.3 470.0 650.0 600.0 300.0 86.1 450.0 190.0 600.0 559.6 430.0 26,424.9 28.1 275.0 230.1 195.4 113.8
03-May-10 04-May-10 04-May-10 04-May-10 04-May-10

7 1/2% Sr Debs 10 6 6/7% Sr Nts 12 6.625%/6.875% Sr Nts 18 7 7/8% Sr Nts 12 6 3/8% Sr Nts 16
B2 Ba1 Ba1 Ba1 Ba1
B1 Ba1 Ba1 Ba1 Ba1
B+ BBBBBBBBBB-
B+ B BBB BBB BBB
A46
Upgrades
Date 05-May-10 06-May-10 06-May-10 06-May-10 07-May-10 10-May-10 10-May-10 10-May-10 10-May-10 10-May-10 11-May-10 11-May-10 11-May-10 11-May-10 11-May-10 11-May-10 11-May-10 11-May-10 11-May-10 11-May-10 11-May-10 11-May-10 11-May-10 11-May-10 11-May-10 11-May-10 11-May-10 11-May-10 11-May-10 11-May-10 11-May-10 11-May-10 11-May-10 11-May-10 12-May-10 12-May-10 12-May-10 12-May-10 12-May-10 12-May-10 12-May-10 12-May-10 12-May-10 12-May-10 12-May-10 13-May-10 13-May-10 13-May-10 13-May-10 13-May-10
Issuer CW Media Holdings Calpine Omnicare Omnicare Mercer International Broadview Networks Corporacion Interamericana de Ent., SA Firekeepers Development Authority Ineos Group Holdings PLC Invacare Corp Macys Retail Holdings Macys Retail Holdings Macys Retail Holdings Macys Retail Holdings Macys Retail Holdings Macys Retail Holdings Macys Retail Holdings Macys Retail Holdings Macys Retail Holdings Macys Retail Holdings Macys Retail Holdings Macys Retail Holdings Macys Retail Holdings Macys Retail Holdings Macys Retail Holdings Macys Retail Holdings Macys Retail Holdings Macys Retail Holdings Macys Retail Holdings Macys Retail Holdings Macys Retail Holdings Macys Retail Holdings Macys Retail Holdings Macys Retail Holdings Targa Resources Targa Resources UnumProvident UnumProvident UnumProvident UnumProvident UnumProvident UnumProvident UnumProvident UnumProvident UnumProvident Domtar Domtar Domtar Domtar Domtar
Moodys Security Rating (old) 13 1/2% Sr Nts 15 Ca 8% Sr Sec Nts (1st Lien) 16 B1 6 7/8% Sr Sub Nts 15 B1 6 1/8% Sr Sub Nts 13 B1 9 1/4% Sr Nts 13 Caa2 11 3/8% Sr Sec Nts 12 B3 8 7/8% Sr Nts 15 Caa1 13 7/8% Sr Sec Nts (1st Lien) 15 B3 9% Sr Sec Nts (1st Lien) 15 B2 9 3/4% Sr Nts 15 B2 5 1/3% Sr Nts 12 Ba2 5 8/9% Sr Guar Nts 16 Ba2 7 7/8% Sr Guar Nts 15 Ba2 6 5/8% Sr Nts 11 Ba2 6 3/8% Sr Nts 37 Ba2 5 3/4% Sr Guar Nts 14 Ba2 6 5/7% Sr Nts 34 Ba2 5 7/8% Sr Nts 13 Ba2 7% Sr Nts 28 Ba2 7 4/9% Sr Nts 17 Ba2 6 2/3% Sr Nts 24 Ba2 7% Sr Nts 32 Ba2 6 5/7% Sr Nts 28 Ba2 8% Sr Nts 12 Ba2 6 4/5% Sr Nts 27 Ba2 10 5/8% Sr Nts 10 Ba2 7 4/9% Sr Nts 11 Ba2 7 4/9% Sr Nts 16 Ba2 7 5/8% Sr Nts 13 Ba2 7 7/8% Sr Nts 36 Ba2 7 1/2% Sr Nts 15 Ba2 8 1/8% Sr Nts 35 Ba2 8 1/2% Sr Nts 10 Ba2 8 3/4% Sr Nts 29 Ba2 11 1/4% Sr Nts 17 B2 8 1/4% Sr Nts 16 B2 7 1/8% Sr Nts 16 Ba1 6 6/7% Sr Guar Nts 15 Ba1 7 2/5% Trust Pfd Secs 38 Ba2 7 5/8% Sr Nts 11 Ba1 7% Sr Nts 18 Ba1 7 1/4% Sr Nts 28 Ba1 6 3/4% Sr Nts 28 Ba1 7 1/5% Sr Nts 28 Ba1 7 3/8% Debs 32 Ba1 7 1/8% Sr Nts 15 Ba3 10 3/4% Sr Nts 17 Ba3 5 3/8% Sr Nts 13 Ba3 7 7/8% Sr Nts 11 Ba3 9 1/2% Debs 16 Ba3
Moodys Rating (new) Ba2 Ba3 Ba2 Ba2 Caa1 B3 Caa1 B2 B1 B1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba2 Ba1 B1 B1 Baa3 Baa3 Ba1 Baa3 Baa3 Baa3 Baa3 Baa3 Baa3 Ba2 Ba2 Ba2 Ba2 Ba2
S&P S&P Rating (old) Rating (new) CCC B+ BBBBB+ BB B+ BB CCC+ B CCC+ BCC CCC B B+ BB B+ BB BB BB+ BB BB+ BB BB+ BB BB+ BB BB+ BB BB+ BB BB+ BB BB+ BB BB+ BB BB+ BB BB+ BB BB+ BB BB+ BB BB+ BB BB+ BB BB+ BB BB+ BB BB+ BB BB+ BB BB+ BB BB+ BB BB+ BB BB+ BB BB+ B B+ B B+ BBBBBBBBBBBBBB BB BBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBB-
Amount ($ mn) 338.3 1,000.0 525.0 250.0 310.0 300.0 13.7 340.0 570.0 175.0 1,100.0 1,100.0 650.0 500.0 500.0 496.5 400.0 350.0 300.0 300.0 300.0 250.0 200.0 200.0 165.0 150.0 150.0 125.0 125.0 108.4 100.0 76.0 76.0 61.2 231.3 209.1 350.0 296.5 226.5 225.1 200.0 200.0 165.8 50.0 39.5 400.0 400.0 350.0 139.8 125.0
A47
Upgrades
Date 13-May-10 17-May-10 18-May-10 18-May-10 18-May-10 18-May-10 18-May-10 18-May-10 18-May-10 18-May-10 18-May-10 18-May-10 18-May-10 19-May-10 19-May-10 20-May-10 20-May-10 20-May-10 20-May-10 20-May-10 20-May-10 21-May-10 24-May-10 24-May-10 25-May-10 25-May-10 25-May-10 26-May-10 26-May-10 26-May-10 26-May-10 26-May-10 26-May-10 26-May-10 27-May-10 28-May-10 28-May-10 28-May-10 28-May-10 28-May-10 28-May-10 28-May-10 28-May-10 28-May-10 28-May-10 28-May-10 Issuer Gibraltar Industries Inc Macys Retail Holdings American Tire Distributors American Tire Distributors Chartered Semiconductor Chartered Semiconductor Chartered Semiconductor Ford Motor Company Ineos Group Holdings PLC L-3 Communications L-3 Communications L-3 Communications L-3 Communications Health Net Innophos Acco Brands Corp Acco Brands Corp Beverages & More Inc Greentown China Holdings Hopson Development Hldgs Ply Gem Industries Barrington Broadcasting Associated Materials Associated Materials Radian Group Radian Group Radian Group Education Management Education Management HSN Omnicare Sanmina Sanmina Sanmina James River Coal Co Crown Cork and Seal Crown Cork and Seal Crown Cork and Seal Crown Cork and Seal Crown Cork and Seal Quicksilver Resources Quicksilver Resources Quicksilver Resources Sally Beauty Sally Beauty Stone Energy May total: 42 issuers Michaels Stores Michaels Stores Moodys Security Rating (old) 8% Sr Sub Nts 15 B3 7% Sr Nts 29 Ba2 10 3/4% Sr Nts 13 Caa1 FLOAT Sr Nts 12 Caa1 6 1/4% Sr Nts 13 B1 5 3/4% Sr Nts 10 B1 6 3/8% Sr Nts 15 B1 7% Sr Nts 15 B1 8 1/2% Sec Nts (2nd Lien) 16 Caa3 6 3/8% Sr Sub Nts 15 Ba2 5 7/8% Sr Sub Nts 15 Ba2 6 1/8% Sr Sub Nts 13 Ba2 6 1/8% Sr Sub Nts 14 Ba2 6 3/8% Sr Nts 17 Ba3 8 7/8% Sr Sub Nts 14 Ba3 10 5/8% Sr Sec Nts (1st Lien) 15 B2 7 5/8% Sr Sub Nts 15 Caa2 9 1/4% Sr Sec Nts 12 Caa2 9% Sr Sub Sec Nts 13 Caa2 8 1/8% Sr Sec Nts 12 B3 13 1/8% Sr Sub Nts 14 Caa3 10 1/2% Sr Sub Nts 14 Caa3 0.000%/11.250% Sr Disc Nts 14 Caa2 9 7/8% Sr Sec Nts (2nd Lien) 16 B2 5 3/8% Sr Nts 15 Caa1 5 5/8% Sr Nts 13 Caa1 7 3/4% Sr Nts 11 Caa1 8 3/4% Sr Nts 14 B2 10 1/4% Sr Sub Nts 16 B3 11 1/4% Sr Nts 16 Ba3 6 3/4% Sr Sub Nts 13 Ba2 8 1/8% Sr Sub Nts 16 B2 6 3/4% Sr Sub Nts 13 B2 FLOAT Sr Nts 14 Ba3 9 3/8% Sr Nts 12 Ca 7 3/4% Sr Nts 15 B1 7 5/8% Sr Nts 17 B1 7 3/8% Debs 26 B2 7 5/8% Sr Nts 13 B1 7 1/2% Debs 96 B2 11 3/4% Sr Nts 16 B2 7 3/4% Sr Guar Nts 15 B2 9 1/8% Sr Nts 19 B2 9 1/4% Sr Nts 14 B3 10 1/2% Sr Sub Nts 16 Caa1 6 3/4% Sr Sub Nts 14 Caa2 Moodys Rating (new) B3 Ba1 B3 B3 Ba3 Ba3 Ba3 Ba2 Caa2 Ba1 Ba1 Ba1 Ba1 Ba3 Ba3 B1 Caa1 Caa1 Caa1 B2 Caa1 Caa2 Caa2 B1 B3 B3 B3 B2 B3 Ba2 Ba2 B2 B2 Ba3 Caa1 Ba3 Ba3 B1 Ba3 B1 B2 B2 B2 B3 Caa1 Caa2 S&P S&P Rating (old) Rating (new) B B+ BB+ BB+ CCC+ CCC+ CCC+ CCC+ BBBBBBBB BBBB BB+ CCCCCC BB+ BB+ BB+ BB+ BB+ BB+ BB+ BB+ BBBB B+ BBBBBBBBCCC+ BBBB+ B+ CCCCCC CCCCCCCCCCCC+ CCC B+ CCC CCC+ CCC CCC+ CCC CCC+ BB BB BBBBB+ BB CCC CCC+ CCC CCC+ BB B B+ BBBBBBBBB+ B+ BBBBB+ B+ B B+ B B+ B B+ B BBBB CCC+ BAmount ($ mn) 204.0 400.0 150.0 140.0 300.0 216.4 97.1 1,750.0 700.0 1,000.0 650.0 400.0 400.0 400.0 190.0 460.0 271.3 100.0 38.7 350.0 150.0 57.2 446.0 200.0 250.0 250.0 159.4 375.0 47.7 240.0 225.0 600.0 400.0 257.4 150.0 600.0 400.0 350.0 200.0 64.0 600.0 475.0 300.0 430.0 280.0 200.0 31,980.3 750.0 469.4
07-Jun-10 07-Jun-10
10% Sr Nts 14 0.000%/13.000% Sr Disc Nts 16
Caa2 Caa3
Caa1 Caa2
CCC CCC
CCC CCC
A48
Upgrades
Date 07-Jun-10 08-Jun-10 08-Jun-10 09-Jun-10 10-Jun-10 10-Jun-10 10-Jun-10 10-Jun-10 10-Jun-10 10-Jun-10 10-Jun-10 11-Jun-10 11-Jun-10 11-Jun-10 11-Jun-10 14-Jun-10 15-Jun-10 15-Jun-10 15-Jun-10 17-Jun-10 17-Jun-10 18-Jun-10 18-Jun-10 18-Jun-10 18-Jun-10 18-Jun-10 18-Jun-10 18-Jun-10 18-Jun-10 21-Jun-10 21-Jun-10 21-Jun-10 21-Jun-10 21-Jun-10 21-Jun-10 21-Jun-10 21-Jun-10 22-Jun-10 22-Jun-10 22-Jun-10 22-Jun-10 22-Jun-10 25-Jun-10 29-Jun-10 30-Jun-10 Issuer Michaels Stores Watson Pharmaceuticals Watson Pharmaceuticals Dollar General ArvinMeritor ArvinMeritor ArvinMeritor Gibson Energy Neiman Marcus Group Neiman Marcus Group Neiman Marcus Group National Semiconductor National Semiconductor National Semiconductor Packaging Dynamics Nordic Telephone Company Atlantic Broadband Finance Local TV Finance Westlake Chemical American Greetings Gardner Denver Tenet Healthcare Tenet Healthcare Tenet Healthcare Tenet Healthcare Tenet Healthcare Tenet Healthcare Tenet Healthcare Tenet Healthcare CII Carbon Kansas City Southern Railway Kansas City Southern Railway Kansas City Southern Railway Kansas City Southern Railway Kansas City Southern Railway Kansas City Southern Railway Salt Holdings Belo Corporation Belo Corporation Belo Corporation Belo Corporation Exopac Holding Newport Television American Capital CMP Susquehanna June total: 23 issuers Novelis Novelis MGM Mirage Southwestern Energy Moodys Security Rating (old) 11 3/8% Sr Sub Nts 16 Caa3 5% Sr Nts 14 Ba1 6 1/8% Sr Nts 19 Ba1 11 7/8% Sr Sub Toggle Nts 17 B3 8 1/8% Sr Nts 15 Caa2 10 5/8% Sr Nts 18 Caa2 8 3/4% Sr Nts 12 Caa2 10% Sr Nts 18 B3 9% Sr Toggle Nts 15 Caa2 10 3/8% Sr Sub Nts 15 Caa3 7 1/8% Sr Sec Nts (1st Lien) 28 B3 6 1/7% Sr Nts 12 Baa1 6 3/5% Sr Nts 17 Baa1 FLOAT Sr Nts 10 Baa1 10% Sr Sub Nts 16 Caa1 8 7/8% Sr Sec Nts (2nd Lien) 16 B1 9 3/8% Sr Sub Nts 14 Caa1 10% Sr Toggle Nts 15 Caa3 6 5/8% Sr Nts 16 Ba3 7 3/8% Sr Nts 16 Ba3 8% Sr Sub Nts 13 B1 7 3/8% Sr Nts 13 Caa2 8 7/8% Sr Sec Nts 19 B2 10% Sr Sec Nts 18 B2 9% Sr Sec Nts 15 B2 9 1/4% Sr Nts 15 Caa2 6 7/8% Sr Nts 31 Caa2 9 7/8% Sr Nts 14 Caa2 6 1/2% Sr Nts 12 Caa2 11 1/8% Sr Sub Nts 15 B3 8% Sr Nts 18 B2 8% Sr Nts 15 B2 7 5/8% Sr Nts 13 B2 12 1/2% Sr Nts 16 B2 13% Sr Nts 13 B2 9 3/8% Sr Nts 12 B2 8% Sr Nts 19 B1 8% Sr Nts 16 Ba2 7 1/4% Debs 27 B1 7 3/4% Debs 27 B1 6 3/4% Sr Nts 13 B1 11 1/4% Sr Nts 14 B3 13% Sr Toggle Nts 17 Caa3 6 6/7% Sr Nts 12 B2 9 7/8% Sr Sub Nts 14 Ca Moodys Rating (new) Caa2 Baa3 Baa3 B2 Caa1 Caa1 Caa1 Ba3 Caa1 Caa2 B2 Baa1 Baa1 Baa1 Caa1 B1 B3 Caa2 Ba2 Ba3 Ba2 Caa1 B1 B1 B1 Caa1 Caa1 Caa1 Caa1 B3 B1 B1 B1 B1 B1 B2 B1 Ba1 B1 B1 B1 B3 Caa3 B2 Caa3 S&P S&P Rating (old) Rating (new) CCC CCC BBBBBBBBBBBBB B+ CCCCCC CCCCCC CCCCCC BBBBCCC+ CCC+ BBBBBB+ BBBBB+ BBBBB+ BBBCCC CCC+ BBBB BBCCC CCC BB BBBBB BB+ BB BB CCC+ CCC+ BBBBBBBBBBBBCCC+ CCC+ CCC+ CCC+ CCC+ CCC+ CCC+ CCC+ CCC+ BB+ BBB+ BBB+ BBB+ BBB+ BBB+ BBB+ BB+ B+ BBBB BB BB BB CC CCC CC BCCC CCC Amount ($ mn) 400.0 450.0 400.0 450.7 252.5 250.0 101.0 200.0 752.4 500.0 125.0 375.0 375.0 250.0 150.0 600.0 150.0 209.5 250.0 22.0 125.0 1,000.0 925.0 714.0 713.5 491.0 428.5 99.9 58.1 235.0 300.0 275.0 175.0 130.0 123.5 70.0 100.0 275.0 240.0 200.0 175.0 220.0 228.4 550.0 12.1 15,346.7 1,124.2 185.0 650.0 600.0
01-Jul-10 01-Jul-10 06-Jul-10 06-Jul-10

7 1/4% Sr Nts 15 11 1/2% Sr Nts 15 10 3/8% Sr Sec Nts 14 7 1/2% Sr Nts 18
Caa1 Caa1 B1 Ba2
B1 B1 B1 Ba1
BBB BB+
BBB+ BBB-
A49
Upgrades
Date 08-Jul-10 08-Jul-10 08-Jul-10 09-Jul-10 09-Jul-10 12-Jul-10 12-Jul-10 12-Jul-10 14-Jul-10 15-Jul-10 15-Jul-10 16-Jul-10 22-Jul-10 22-Jul-10 23-Jul-10 26-Jul-10 27-Jul-10 29-Jul-10 30-Jul-10 Issuer Graphic Packaging Regency Energy Partners Regency Energy Partners Graphic Packaging Vanguard Health Systems Altegrity Altegrity Great Canadian Gaming Co GOL Finance Avago Technologies Paramount Resources INVISTA/Arteva Specialties New York Times New York Times Perry Ellis International Advanced Micro Devices Yonkers Racing Corp Viskase Companies Rockwood Specialties July total: 19 issuers Ford Motor Company Ford Motor Company United Air Lines United Air Lines United Air Lines Dasa Finance Petrohawk Energy Corp Petrohawk Energy Corp Petrohawk Energy Corp Petrohawk Energy Corp Sensata Technologies Virgin Media Sinclair Broadcast Sinclair Broadcast TRW Automotive Building Materials Building Materials Pinnacle Food Holdings Pinnacle Food Holdings Pinnacle Food Holdings SPX Oshkosh Corporation Oshkosh Corporation Cardtronics Inc Cardtronics Inc SPX Church & Dwight Jarden Corp QWest Communications International QWest Communications International Moodys Security Rating (old) 9 1/2% Sr Sub Nts 13 B3 8 3/8% Sr Nts 13 B1 9 3/8% Sr Nts 16 B1 9 1/2% Sr Nts 17 B3 8% Sr Nts 18 B3 10 1/2% Sr Sub Nts 15 Caa2 11 3/4% Sr Sub Nts 16 Caa2 7 1/4% Sr Sub Nts 15 B2 7 1/2% Guar Nts 17 B1 11 7/8% Sr Sub Nts 15 Ba3 8 1/2% Sr Nts 13 Caa1 9 1/4% Sr Nts 12 Ba3 5% Sr Nts 15 B1 4 3/5% Sr Nts 12 B1 8 7/8% Sr Sub Nts 13 B3 8 1/8% Sr Nts 17 Ba3 11 3/8% Sr Sec Nts (2nd Lien) 16 B1 9 7/8% Sr Sec Nts 18 B2 7 1/2% Sr Sub Nts 14 B3 Moodys Rating (new) B3 B1 B1 B3 B3 Caa2 Caa2 B2 Ba3 Ba1 B3 Ba3 B1 B1 B3 Ba3 B1 B2 B3 S&P S&P Rating (old) Rating (new) BB B B+ B B+ BB CCC+ BCCC CCC+ CCC CCC+ BBBB NR NR B+ BB+ B B B BBB B+ B B+ BB BB+ B+ BBBB BB Amount ($ mn) 425.0 357.5 250.0 425.0 1,175.0 290.0 150.0 170.0 221.3 230.7 90.2 325.3 250.0 75.0 104.0 500.0 225.0 215.0 200.0 8,238.2 1,520.7 1,250.0 500.0 200.0 175.0 250.0 800.0 768.6 600.0 275.0 201.2 550.0 500.0 224.7 250.0 325.0 250.0 325.0 300.0 199.0 500.0 250.0 250.0 200.0 100.0 600.0 250.0 275.0 1,500.0 1,000.0
02-Aug-10 02-Aug-10 02-Aug-10 02-Aug-10 02-Aug-10 03-Aug-10 03-Aug-10 03-Aug-10 03-Aug-10 03-Aug-10 03-Aug-10 04-Aug-10 05-Aug-10 05-Aug-10 05-Aug-10 09-Aug-10 09-Aug-10 10-Aug-10 10-Aug-10 10-Aug-10 10-Aug-10 11-Aug-10 11-Aug-10 12-Aug-10 12-Aug-10 12-Aug-10 13-Aug-10 13-Aug-10 13-Aug-10 13-Aug-10
9 3/4% Sr Nts 10 6 5/8% Sr Nts 17 9 7/8% Sr Sec Nts (1st Lien) 13 12% Sr Sec Nts (2nd Lien) 13 12 3/4% Sr Sec Nts 12 8 3/4% Guar Nts 18 7 7/8% Sr Nts 15 9 1/8% Sr Nts 13 10 1/2% Sr Nts 14 7 1/8% Sr Nts 12 8% Sr Nts 14 9 1/8% Sr Nts 16 9 1/4% Sr Sec Nts (2nd Lien) 17 8% Sr Sub Nts 12 8 7/8% Sr Nts 17 7 1/2% Sr Nts 20 7% Sr Sec Nts (1st Lien) 20 9 1/4% Sr Nts 15 9 1/4% Sr Nts 15 10 5/8% Sr Sub Nts 17 7 5/8% Sr Nts 14 8 1/4% Sr Nts 17 8 1/2% Sr Nts 20 9 1/4% Sr Sub Nts 13 9 1/4% Sr Sub Nts 13 6 7/8% Guar Nts 17 6% Sr Sub Nts 12 7 1/2% Sr Sub Nts 20 8 7/8% Sr Nts 12 6 7/8% Debs 33
Ba3 Ba3 B3 Caa2 B2 NR B3 B3 B3 B3 Caa1 B1 B2 Caa1 B3 B3 Ba3 Caa2 Caa2 Caa2 Ba2 B3 B3 B3 B3 Ba2 Ba2 B3 Ba1 Ba1
Ba3 Ba2 Ba3 B3 Ba2 NR B3 B3 B3 B3 Caa1 Ba3 Ba3 B2 B2 B1 Ba2 B3 B3 Caa1 Ba1 B2 B2 B2 B2 Ba1 Ba1 B1 Baa3 Baa3
BBB+ CCC B+ BBB B B B CCC+ B+ BCCC+ B+ BBBBBCCC+ CCC+ CCC+ BB BBB+ B+ BB+ BB+ B BBBBBB-
B+ B+ BBCCC+ BBBB B+ B+ B+ B+ BB+ B+ BBB BB+ BBB CCC+ CCC+ CCC+ BB+ BBBBB+ B+ BB+ BB+ B BBBBBB-
A50
Upgrades
Date 13-Aug-10 13-Aug-10 13-Aug-10 13-Aug-10 13-Aug-10 13-Aug-10 13-Aug-10 13-Aug-10 13-Aug-10 13-Aug-10 13-Aug-10 13-Aug-10 13-Aug-10 13-Aug-10 13-Aug-10 13-Aug-10 13-Aug-10 13-Aug-10 13-Aug-10 13-Aug-10 13-Aug-10 13-Aug-10 13-Aug-10 13-Aug-10 13-Aug-10 13-Aug-10 13-Aug-10 16-Aug-10 16-Aug-10 16-Aug-10 16-Aug-10 16-Aug-10 18-Aug-10 18-Aug-10 18-Aug-10 18-Aug-10 19-Aug-10 20-Aug-10 20-Aug-10 20-Aug-10 20-Aug-10 20-Aug-10 20-Aug-10 23-Aug-10 24-Aug-10 24-Aug-10 24-Aug-10 24-Aug-10 24-Aug-10 25-Aug-10 26-Aug-10
Issuer QWest Communications International QWest Communications International QWest Communications International QWest Communications International QWest Communications International QWest Communications International QWest Communications International QWest Communications International QWest Communications International QWest Communications International QWest Communications International QWest Communications International QWest Communications International QWest Communications International QWest Communications International QWest Communications International QWest Communications International QWest Communications International QWest Communications International QWest Communications International QWest Communications International Sothebys Holdings Thermadyne Holdings Unisys Unisys Unisys Unisys Toys R Us Toys R Us Toys R Us Toys R Us Toys R Us Amkor Technologies Energy Future Holdings Energy Future Holdings Las Vegas Sands CE Casecnan Water & Energy Russel Metals Tyson Foods Tyson Foods Tyson Foods Tyson Foods Tyson Foods Quiksilver Inc Inergy Inergy Inergy Seitel Trimas Corp Accellent Inc LIN Television
Moodys Security Rating (old) 7 7/8% Sr Nts 11 Ba1 8 3/8% Sr Nts 16 Ba1 7 1/2% Sr Nts 14 Ba3 7 1/8% Sr Nts 18 Ba3 FLOAT Sr Nts 13 Ba1 7 1/2% Sr Nts 14 Ba1 8% Sr Nts 15 Ba3 6 1/2% Sr Nts 17 Ba1 7 1/2% Sr Nts 14 Ba3 7 1/2% Debs 23 Ba1 7 5/8% Sr Nts 15 Ba1 7 3/4% Sr Nts 31 B1 6 7/8% Sr Nts 28 B1 7 1/4% Debs 25 Ba1 7 1/8% Debs 43 Ba1 7 1/4% Debs 35 Ba1 7 1/5% Debs 26 Ba1 7 1/4% Sr Guar Nts 11 B1 6 1/2% Sr Guar Nts 18 B1 7 5/8% Sr Guar Nts 21 B1 7 3/8% Debs 30 Ba1 7 3/4% Sr Nts 15 B1 9 1/4% Sr Sub Nts 14 Caa1 12 3/4% Sr Sec Nts (1st Lien) 14 Ba3 14 1/4% Sr Sec Nts (2nd Lien) 15 Ba3 12 1/2% Sr Nts 16 Caa1 8% Sr Nts 12 Caa1 10 3/4% Sr Nts 17 B3 8 1/2% Sr Sec Nts 17 Ba2 7 5/8% Sr Nts 11 Caa1 7 7/8% Sr Nts 13 Caa1 7 3/8% Sr Nts 18 Caa1 7 3/8% Sr Nts 18 Ba3 12% Sr Toggle Nts 17 Caa3 10 7/8% Sr Nts 17 Caa3 6 3/8% Sr Sec Nts 15 B3 12% Sr Sec Nts 10 Ba3 6 3/8% Sr Nts 14 Ba2 6 3/5% Sr Nts 16 Ba3 10 1/2% Sr Nts 14 Ba3 8 1/4% Sr Nts 11 B2 7% Sr Nts 18 B2 7% Sr Nts 28 B2 6 7/8% Sr Nts 15 Caa2 6 7/8% Sr Nts 14 B1 8 1/4% Sr Nts 16 B1 8 3/4% Sr Nts 15 B1 9 3/4% Sr Nts 14 Caa3 9 3/4% Sr Sec Nts (2nd Lien) 17 Caa1 8 3/8% Sr Sec Nts (1st Lien) 17 B3 6 1/2% Sr Sub Nts 13 B3
Moodys Rating (new) Baa3 Baa3 Ba2 Ba2 Baa3 Baa3 Ba2 Baa3 Ba2 Baa3 Baa3 Ba3 Ba3 Baa3 Baa3 Baa3 Baa3 Ba3 Ba3 Ba3 Baa3 Ba3 Caa1 Ba1 Ba2 B2 B2 B2 Ba1 B3 B3 B3 Ba3 Caa3 Caa3 B1 Ba3 Ba1 Ba2 Ba2 B1 B1 B1 Caa1 Ba3 Ba3 Ba3 Caa3 B3 B1 B3
S&P S&P Rating (old) Rating (new) BBBBBBBBBBBBB+ B+ B+ B+ BBBBBBBBBBBBB+ B+ BBBBBBB+ B+ BBBBBBBBBBBBB+ B+ B+ B+ BBBBBBBBBBBBBBBBBBBBBBBBB+ B+ B+ B+ B+ B+ BBBBBBB BBCCC BBBBB BBBB B B+ B B+ B+ B+ B+ B+ CCC+ CCC+ CCC+ CCC+ CCC+ CCC+ B+ BBCC CCC+ CC CCC+ BBBBBBB+ BB BB BB BB+ BB BB+ BB BB+ BB BB+ BB BB+ CCC CCC+ B+ B+ B+ B+ B+ B+ CCC CCC+ BBB+ B+ CCC+ B-
Amount ($ mn) 825.0 810.5 800.0 800.0 750.0 600.0 550.0 500.0 498.3 484.0 400.0 358.1 351.7 250.0 250.0 250.0 250.0 179.5 174.4 97.2 55.2 128.3 175.0 385.0 246.6 150.6 68.0 950.0 725.0 500.0 400.0 400.0 345.0 2,943.9 1,830.5 215.3 8.6 175.0 869.8 810.0 556.0 140.0 26.7 400.0 425.0 400.0 225.0 400.0 250.0 400.0 275.9
A51
Upgrades
Date 26-Aug-10 26-Aug-10 27-Aug-10 27-Aug-10 27-Aug-10 27-Aug-10 27-Aug-10 30-Aug-10 30-Aug-10 Issuer LIN Television LIN Television Nexstar Broadcasting Nexstar Broadcasting Nexstar Broadcasting Swift Transportation Swift Transportation General Nutrition General Nutrition August total: 36 issuers Realogy Realogy McClatchy Graham Packaging HBOS plc HBOS plc Omega Healthcare Investors Omega Healthcare Investors Omega Healthcare Investors Huntsman ICI Chemicals Huntsman ICI Chemicals Huntsman ICI Chemicals Huntsman ICI Chemicals West Corp Momentive Performance Momentive Performance Momentive Performance Momentive Performance Reynolds Group Escrow Atlas Pipeline Partners Atlas Pipeline Partners Lear Lear Whiting Petroleum Credit Acceptance Corp Alliant Techsystems Alliant Techsystems West Frasor Timber United Components Digitalglobe Geoeye HealthSouth Rehabilitation HealthSouth Rehabilitation Baker & Taylor Unifi VNU NV VNU NV VNU NV VNU NV September total: 22 issuers Moodys Security Rating (old) 8 3/8% Sr Nts 18 Ba3 6 1/2% Sr Sub Nts 13 B3 8 7/8% Sr Sec Nts (2nd Lien) 17 B3 0 1/2% Sr Sub Nts 14 Caa2 7% Sr Sub Nts 14 Caa2 12 1/2% Sr Sec Nts 17 Caa3 FLOAT Sr Sec Nts 15 Caa3 FLOAT Sr Toggle Nts 14 Caa1 10 3/4% Sr Sub Nts 15 Caa2 Moodys Rating (new) Ba3 B3 B3 Caa2 Caa2 Caa2 Caa2 Caa1 Caa2 S&P S&P Rating (old) Rating (new) B+ BBCCC+ BBB CCC CCC+ CCC CCC+ CCCCCC CCCCCC CCC+ BCCC+ BAmount ($ mn) 200.0 141.3 325.0 142.3 48.9 505.6 240.0 300.0 110.0 40,461.2 1,700.0 443.8 875.0 253.4 2,000.0 750.0 310.0 200.0 175.0 600.0 350.0 347.0 175.0 650.0 716.6 381.9 214.1 200.0 1,000.0 275.5 223.1 350.0 350.0 250.0 250.0 400.0 350.0 300.0 347.1 355.0 400.0 500.5 290.0 165.0 163.7 1,070.0 870.0 500.0 330.0 19,081.7
03-Sep-10 03-Sep-10 09-Sep-10 10-Sep-10 13-Sep-10 13-Sep-10 13-Sep-10 13-Sep-10 13-Sep-10 14-Sep-10 14-Sep-10 14-Sep-10 14-Sep-10 15-Sep-10 16-Sep-10 16-Sep-10 16-Sep-10 16-Sep-10 16-Sep-10 21-Sep-10 21-Sep-10 21-Sep-10 21-Sep-10 21-Sep-10 22-Sep-10 23-Sep-10 23-Sep-10 23-Sep-10 27-Sep-10 28-Sep-10 28-Sep-10 28-Sep-10 28-Sep-10 29-Sep-10 29-Sep-10 29-Sep-10 29-Sep-10 29-Sep-10 29-Sep-10
10 1/2% Sr Nts 14 11 3/4% Sr Toggle Nts 14 11 1/2% Sr Sec Nts (1st Lien) 17 8 1/4% Sr Nts 17 6 3/4% Sub Nts 18 6% Sr Sub Nts 33 7% Sr Nts 14 7 1/2% Sr Nts 20 7% Sr Nts 16 5 1/2% Sr Nts 16 8 5/8% Sr Sub Nts 20 7 7/8% Sr Sub Nts 14 7 3/8% Sr Sub Nts 15 9 1/2% Sr Nts 14 9 3/4% Sr Nts 14 11 1/2% Sr Sub Nts 16 10 1/8% Sr Toggle Nts 14 12 1/4% Sr Sec Nts (2nd Lien) 14 8 1/2% Sr Nts 18 8 1/8% Sr Nts 15 8 3/4% Sr Guar Nts 18 7 7/8% Sr Nts 18 8 1/8% Sr Nts 20 7% Sr Sub Nts 14 9 1/8% Sr Sec Nts (1st Lien) 17 6 3/4% Sr Sub Nts 16 6 7/8% Sr Sub Nts 20 5 1/5% Sr Nts 14 FLOAT Sr Nts 13 10 1/2% Sr Sec Nts (1st Lien) 14 9 5/8% Sr Sec Nts 15 10 3/4% Sr Nts 16 8 1/8% Sr Nts 20 11 1/2% Sr Sec Nts 13 11 1/2% Sr Sec Nts (1st Lien) 14 0.000%/12.500% Sr Sub Disc Nts 16 10% Sr Nts 14 11 1/2% Sr Nts 16 11 5/8% Sr Nts 14
Ca Ca Caa1 Caa1 Ba1 Ba1 Ba3 Ba3 Ba3 B1 B3 B3 B3 Caa1 Caa2 Caa3 Caa2 B3 Caa1 Caa2 Caa2 B1 B1 B1 B1 B1 B1 Ba1 Caa3 Ba3 B1 Caa1 Caa1 B3 Caa2 Caa1 Caa1 Caa1 Caa1
Caa3 Caa3 B1 Caa1 Baa3 Baa3 Ba2 Ba2 Ba2 B1 B3 B3 B3 B3 Caa1 Caa2 Caa1 B2 Caa1 B3 B3 Ba3 Ba3 Ba3 B1 Ba3 Ba3 Ba1 Caa1 Ba3 B1 B2 B2 B3 Caa1 Caa1 Caa1 Caa1 Caa1
C C BCCC+ BBBBBBBB+ BB+ BB+ BCCC+ CCC+ CCC+ BCCCCCCCCCCCCBCCC CCC BBBBBB BBBBBBBB CCC BB B CCC+ CCC+ CCC BCCC+ BBB-
C C BBBBBBBBBB+ BB+ BB+ B BBBB CCC CCC CCC CCC B BBBB+ BB+ BB BB BBBBBB+ CCC+ BBBBBB+ B+ CCC+ BBB B B
A52
Upgrades
Date 01-Oct-10 01-Oct-10 01-Oct-10 01-Oct-10 01-Oct-10 01-Oct-10 01-Oct-10 01-Oct-10 01-Oct-10 01-Oct-10 01-Oct-10 04-Oct-10 05-Oct-10 05-Oct-10 05-Oct-10 07-Oct-10 07-Oct-10 07-Oct-10 07-Oct-10 07-Oct-10 08-Oct-10 08-Oct-10 08-Oct-10 08-Oct-10 12-Oct-10 13-Oct-10 13-Oct-10 13-Oct-10 13-Oct-10 13-Oct-10 14-Oct-10 18-Oct-10 19-Oct-10 20-Oct-10 20-Oct-10 20-Oct-10 20-Oct-10 20-Oct-10 21-Oct-10 21-Oct-10 21-Oct-10 21-Oct-10 21-Oct-10 21-Oct-10 21-Oct-10 21-Oct-10 25-Oct-10 26-Oct-10 27-Oct-10 27-Oct-10 29-Oct-10
Issuer CSN Iron CSN Iron CSN Iron CSN Resources SA Geoeye Starwood Hotels Resorts Starwood Hotels Resorts Starwood Hotels Resorts Starwood Hotels Resorts Starwood Hotels Resorts Starwood Hotels Resorts Rotech Healthcare FMG Finance Pty Ltd FMG Finance Pty Ltd FMG Finance Pty Ltd Broadwing Broadwing Broadwing Broadwing Broadwing Advance Auto Parts Forbes Energy Services Ford Motor Company Spirit Aerosystems Hapag-Lloyd Commercial Vehicle Freeport-McMoRan Copper & Gold Freeport-McMoRan Copper & Gold Manitowoc Manitowoc Energy Future Holdings Sirius XM Radio Alrosa Finance MDC Communications NXP BV Rural/Metro United Rentals United Rentals Cosan SA Industria e Comercio Cosan SA Industria e Comercio Delta Air Lines Newfield Exploration Newfield Exploration Newfield Exploration Newfield Exploration Univision Communications Tower Automotive Holdings BWAY BorgWarner BorgWarner Norwegian Cruise Line
Moodys Security Rating (old) 6 7/8% Sr Nts 19 Ba1 9 3/4% Sr Nts 13 Ba1 10% Sr Nts 15 Ba1 6 1/2% Guar Nts 20 Ba1 9 5/8% Sr Sec Nts 15 B1 7 7/8% Sr Nts 12 Ba1 7 7/8% Sr Nts 14 Ba1 6 1/4% Sr Nts 13 Ba1 7 3/8% Debs 15 Ba1 6 3/4% Sr Nts 18 Ba1 7 1/7% Sr Nts 19 Ba1 9 1/2% Sr Sub Nts 12 Caa3 10 5/8% Sr Sec Nts (1st Lien) 16 B2 10% Sr Sec Nts (1st Lien) 13 B2 FLOAT Sr Sec Nts (1st Lien) 11 B2 8 1/4% Sr Nts 17 B2 7% Sr Nts 15 B2 6 2/7% Sr Guar Nts 28 Ba2 7 1/4% Sr Sec Nts 23 Ba3 7 1/5% Sr Nts 23 Ba2 5 3/4% Sr Nts 20 Ba1 11% Sr Sec Nts (2nd Lien) 15 Caa2 5 5/8% Sr Nts 15 Ba3 7 1/2% Sr Nts 17 B2 9 3/4% Guar Nts 17 B3 8% Sr Nts 13 Caa3 8 3/8% Sr Nts 17 Ba2 8 1/4% Sr Nts 15 Ba2 9 1/2% Sr Nts 18 Caa1 7 1/8% Sr Nts 13 Caa1 10% Sr Sec Nts 20 Ca 7 5/8% Sr Nts 18 B3 8 7/8% Guar Nts 14 Ba3 11% Sr Guar Nts 16 B2 9 3/4% Sr Sec Nts (1st Lien) 18 Caa1 0.000%/12.750% Sr Disc Nts 16 Caa1 10 7/8% Sr Nts 16 B3 9 1/4% Sr Nts 19 B3 7% Nts 17 Ba3 9 1/2% Sr Nts 14 NR 12 1/4% Sr Sec Nts (2nd Lien) 15 B2 6 7/8% Sr Sub Nts 20 Ba3 7 1/8% Sr Sub Nts 18 Ba3 6 5/8% Sr Sub Nts 16 Ba3 6 5/8% Sr Sub Nts 14 Ba3 7 7/8% Sr Sec Nts (1st Lien) 20 B2 10 5/8% Sr Sec Nts (1st Lien) 17 B1 10 1/8% Sr PIK Nts 15 Caa2 8% Sr Nts 19 Ba1 7 1/8% Sr Nts 29 Ba1 11 3/4% 1st Mtg Nts 16 B3
Moodys Rating (new) Ba1 Ba1 Ba1 Ba1 Ba3 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Caa2 B1 B1 B1 B2 B2 Ba1 Ba2 Ba1 Baa3 Caa1 Ba2 Ba3 B2 Caa2 Baa3 Baa3 B3 B3 Caa3 B3 Ba3 B2 B3 B3 B2 B2 Ba2 NR B2 Ba2 Ba2 Ba2 Ba2 B2 B1 Caa1 Baa3 Baa3 B2
S&P S&P Rating (old) Rating (new) BB+ BBBBB+ BBBBB+ BBBBB+ BBBBBBBBB BB+ BB BB+ BB BB+ BB BB+ BB BB+ BB BB+ CC BB B B B B B BB+ BB+ BB BB BB BB BB BB BBBBBBCCC CCC B+ B+ BBBBB B CCC CCC BBBBBBBBBBBBB+ B+ B+ B+ B+ B+ CCC+ B+ B+ BBB+ BBCCC+ BB B B B B B BBBB BBBB CCC+ B BB+ BB+ BB+ BB+ BB+ BB+ BB+ BB+ BB B B+ CCC+ CCC+ BBB BBB BBB BBB B+ B+
Amount ($ mn) 750.0 550.0 400.0 1,000.0 400.0 605.1 500.0 494.9 450.0 400.0 250.0 287.0 1,026.0 317.5 250.0 500.0 250.0 134.5 40.0 33.0 300.0 192.5 1,000.0 300.0 250.0 97.8 3,011.0 1,079.0 400.0 150.0 946.0 700.0 500.0 290.0 1,000.0 93.5 500.0 500.0 400.0 350.0 397.1 700.0 600.0 550.0 325.0 750.0 430.0 150.0 134.0 120.7 450.0
A53
Upgrades
Date 29-Oct-10 Issuer Vitamin Shoppe Industries October total: 31 issuers Netflix Univision Communications Univision Communications Univision Communications Dollar General Dow Chemical Dow Chemical Dow Chemical Energy XXI Gulf Coast CW Media Holdings Hanesbrands Hanesbrands Pacific Rubiales Energy Quality Distribution Ainsworth Lumber Catalina Marketing Cincinnati Bell Telephone Solutia Solutia Southwestern Energy Tenneco Automotive Tenneco Automotive Tenneco Automotive HeidelbergCement AG HeidelbergCement AG Rouse Rouse Rouse Boise Paper Holdings CB Richard Ellis Service Frac Tech Services Life Technologies Life Technologies Life Technologies Minerva Overseas Minerva Overseas Kansas City Southern Railway Easton-Bell Sports PAETEC Holding Corp Checkout Holdings Murray Energy Quezon Power Royal Caribbean Cruises Royal Caribbean Cruises Royal Caribbean Cruises Royal Caribbean Cruises Royal Caribbean Cruises Royal Caribbean Cruises Security FLOAT Sr Sec Nts 12 Moodys Rating (old) B2 Moodys Rating (new) B2 S&P S&P Rating (old) Rating (new) BBBB Amount ($ mn) 75.1 25,379.7 200.0 1,748.9 545.0 7.4 929.3 200.0 175.0 150.0 276.5 338.3 500.0 490.7 450.0 82.0 384.8 330.0 40.0 400.0 300.0 25.0 500.0 250.0 225.0 750.0 750.0 800.0 450.0 400.0 300.0 450.0 550.0 750.0 500.0 250.0 415.7 74.5 165.0 350.0 650.0 438.6 540.0 136.5 550.0 500.0 350.0 350.0 300.0 300.0
01-Nov-10 01-Nov-10 01-Nov-10 01-Nov-10 02-Nov-10 02-Nov-10 02-Nov-10 02-Nov-10 03-Nov-10 04-Nov-10 04-Nov-10 04-Nov-10 04-Nov-10 04-Nov-10 05-Nov-10 05-Nov-10 09-Nov-10 09-Nov-10 09-Nov-10 09-Nov-10 09-Nov-10 09-Nov-10 09-Nov-10 10-Nov-10 10-Nov-10 10-Nov-10 10-Nov-10 10-Nov-10 12-Nov-10 12-Nov-10 12-Nov-10 12-Nov-10 12-Nov-10 12-Nov-10 12-Nov-10 12-Nov-10 15-Nov-10 16-Nov-10 16-Nov-10 17-Nov-10 17-Nov-10 17-Nov-10 17-Nov-10 17-Nov-10 17-Nov-10 17-Nov-10 17-Nov-10 17-Nov-10
8 1/2% Sr Nts 17 10 1/2% Sr Toggle Nts 15 12% Sr Sec Nts (1st Lien) 14 7 6/7% Sr Sec Nts 11 10 5/8% Sr Nts 15 7 3/4% Debs 96 7 7/8% Debs 23 7 1/2% Debs 25 10% Sr Nts 13 13 1/2% Sr Nts 15 8% Sr Nts 16 FLOAT Sr Nts 14 8 3/4% Guar Nts 16 11 3/4% Sr Sub Nts 13 11% Sr Nts 15 10 1/2% Sr Toggle Nts 15 7 1/4% Sr Sec Nts 23 8 3/4% Sr Nts 17 7 7/8% Sr Nts 20 7 1/8% Sr Nts 17 8 5/8% Sr Sub Nts 14 8 1/8% Sr Nts 15 7 3/4% Sr Nts 18 5 1/4% Sr Nts 13 6 1/8% Sr Nts 16 6 3/4% Sr Nts 13 5 3/8% Sr Nts 13 7 1/5% Sr Nts 12 8% Sr Nts 20 11 5/8% Sr Sub Nts 17 7 1/8% Sr Nts 18 6% Sr Nts 20 4 2/5% Sr Nts 15 3 3/8% Sr Nts 13 10 7/8% Sr Nts 19 9 1/2% Nts 17 7 3/8% Sr Nts 14 9 3/4% Sr Sec Nts 16 8 7/8% Sr Sec Nts (1st Lien) 17 0% Sr Disc Nts 15 10 1/4% Sr Sec Nts 15 8 6/7% Sr Sec Nts 17 7% Sr Nts 13 8 3/4% Sr Nts 11 6 7/8% Sr Nts 13 7 1/4% Sr Nts 16 7 1/2% Debs 27 11 7/8% Sr Nts 15
Ba2 Caa2 B2 B2 B3 Ba2 Ba2 Ba2 Caa3 Ba2 B1 B1 NR Caa2 Caa3 B3 Ba2 B2 B2 Ba2 Caa1 B2 B2 B1 B1 C C C B2 Ba3 B2 Ba1 Ba1 Ba1 B3 B3 B2 B3 B1 B3 Caa1 B2 Ba3 Ba3 Ba3 Ba3 Ba3 Ba3
Ba2 Caa2 B2 B2 B1 Baa3 Baa3 Baa3 Caa2 Ba2 B1 B1 NR Caa2 Caa1 B2 Ba1 B1 B1 Ba1 Caa1 B2 B2 Ba3 Ba3 C C C B2 Ba2 B2 Ba1 Ba1 Ba1 B3 B3 B1 B2 Ba3 B3 B2 B2 Ba3 Ba3 Ba3 Ba3 Ba3 Ba3
BBCCC BBB+ BBBBBBBBBB B+ B+ B+ B+ CCC BBBB B+ B+ NR CCC+ B B BBBBC C C BBB+ BBBBBBBBBBBBBBCCC+ B BB+ B BBBBBBBBBBBB-
BB+ CCC+ B B B+ BBBBBBBBBB+ BBBBBBBBBCCC+ BBBB B+ B+ NR B BBBBBBBBBB+ BB+ BB+ BB B+ B+ BBB BBB BBB B B BBBB B+ B+ B+ BB BB BB BB BB BB
A54
Upgrades
Date 17-Nov-10 18-Nov-10 22-Nov-10 24-Nov-10 24-Nov-10 26-Nov-10 26-Nov-10 29-Nov-10 29-Nov-10 30-Nov-10 30-Nov-10 Issuer Royal Caribbean Cruises Pep Boys Servicemaster Hynix Semiconductor Koppers Industries CEVA Group CEVA Group Lyondell Chemical Lyondell Chemical American Reprographics Revlon Consumer Products November total: 38 issuers Total upgrades: 353 issuers
Moodys Security Rating (old) 7 1/4% Debs 18 Ba3 7 1/2% Sr Sub Nts 14 Caa1 7 4/9% Bds 27 Caa1 7 7/8% Sr Nts 17 B1 7 7/8% Sr Nts 19 B1 11 1/2% Sr Sec Nts (2nd Lien) 18 Caa1 11 5/8% Sr Sec Nts 16 Caa1 11% Sr Sec Nts (3rd Lien) 18 B3 8% Sr Sec Nts 17 Ba3 10 1/2% Sr Nts 16 B1 9 3/4% Sr Sec Nts 15 B3
Moodys Rating (new) Ba3 Caa1 Caa1 B1 B1 Caa1 Caa1 B2 Ba2 B1 B3
S&P S&P Rating (old) Rating (new) BBBB BB CCC+ BB B+ B B+ CCC CCC+ CCC CCC+ B B BB BB B+ BBBB
Amount ($ mn) 150.0 157.6 195.0 500.0 300.0 625.0 210.0 3,240.3 2,250.0 200.0 330.0 28,096.1 335,281.6
A55
Rising stars
Issuer Ventas Realty Ventas Realty Ventas Realty Ventas Realty Ventas Realty Ventas Realty Affiliated Computer Services Affiliated Computer Services Williams Partners February total DirecTV Holdings/Finance DirecTV Holdings/Finance DirecTV Holdings/Finance DirecTV Holdings/Finance Consol Energy Inc March total Agilent Technologies Teck Cominco Limited Teck Cominco Limited Teck Cominco Limited Teck Resources Teck Resources Teck Resources April total UnumProvident UnumProvident UnumProvident UnumProvident UnumProvident UnumProvident May total Watson Pharmaceuticals Watson Pharmaceuticals National Semiconductor National Semiconductor National Semiconductor June total Seagate Technology Senior Housing Senior Housing July total Qwest Qwest Qwest Qwest Qwest
Security 6.75% Guar Nts 17 6.5% Guar Nts 16 7.125% Guar Nts 15 9% Guar Nts 12 6.625% Guar Nts 14 6.75% Guar Nts 10 4.7% Sr Nts 10 5.2% Sr Nts 15 7.5% Sr Nts 11
Date 04-Feb-10 04-Feb-10 04-Feb-10 04-Feb-10 04-Feb-10 04-Feb-10 09-Feb-10 09-Feb-10 18-Feb-10
Moodys Rating (old) Rating (new) Ba1 Baa3 Ba1 Baa3 Ba1 Baa3 Ba1 Baa3 Ba1 Baa3 Ba1 Baa3 Ba2 Baa3 Ba2 Baa3 Ba2 Baa3
S&P Rating (old) Rating (new) BBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBB-
Amount ($ mn) 225.0 200.0 142.7 82.4 71.7 1.4 250.0 250.0 150.0 1,373.1 1,500.0 1,000.0 1,000.0 1,000.0 250.0 4,750.0 600.0 700.0 300.0 200.0 1,850.0 1,315.0 1,060.0 6,025.0 350.0 296.5 225.1 165.8 50.0 39.5 1,127.0 450.0 400.0 375.0 375.0 250.0 1,850.0 430.0 225.0 200.0 855.0 1,500.0 1,000.0 825.0 750.0 484.0
7 5/8% Sr Nts 16 6 3/8% Sr Nts 15 5 7/8% Sr Nts 19 4 3/4% Sr Nts 14 7 7/8% Sr Sec Nts 12
04-Mar-10 04-Mar-10 04-Mar-10 04-Mar-10 22-Mar-10
Ba2 Ba2 Ba2 Ba2 Ba1
Baa3 Baa3 Baa3 Baa3 Baa3
BBBBBBBBBBBBBBB
BBBBBBBBBBBBBBB
6 1/2% Sr Nts 17 6.125% Sr Nts 35 5.375% Sr Nts 15 7% Sr Nts 12 10.75% Sr Sec Nts (1st Lien) 19 9.75% Sr Sec Nts (1st Lien) 14 10.25% Sr Sec Nts (1st Lien) 16
27-Apr-10 27-Apr-10 27-Apr-10 27-Apr-10 27-Apr-10 27-Apr-10 27-Apr-10
Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1
Baa3 Baa3 Baa3 Baa3 Baa3 Baa3 Baa3
BBBBBB BBB BBB BBB BBB BBB
BBBBBB BBB BBB BBB BBB BBB
7.125% Sr Nts 16 6.85% Sr Guar Nts 15 7.625% Sr Nts 11 6.75% Sr Nts 28 7.19% Sr Nts 28 7.375% Debs 32
12-May-10 12-May-10 12-May-10 12-May-10 12-May-10 12-May-10
Ba1 Ba1 Ba1 Ba1 Ba1 Ba1
Baa3 Baa3 Baa3 Baa3 Baa3 Baa3
BBBBBBBBBBBBBBBBBB-
BBBBBBBBBBBBBBBBBB-
5% Sr Nts 14 6.125% Sr Nts 19 6.15% Sr Nts 12 6.6% Sr Nts 17 FRN Sr Nts 10
08-Jun-10 08-Jun-10 11-Jun-10 11-Jun-10 11-Jun-10
Ba1 Ba1 Baa1 Baa1 Baa1
BBBBBBBB+ BB+ BB+
BBBBBBBBBBBBBBB-
10% Sr Sec Nts 14 8.625% Sr Nts 12 6.75% Sr Nts 20
19-Jul-10 29-Jul-10 29-Jul-10
Baa3 Ba1 Ba1
Baa3 Baa3 Baa3
BB+ BBBBBB-
BBB BBBBBB-
8.875% Sr Nts 12 6.875% Debs 33 7.875% Sr Nts 11 FLOAT Sr Nts 13 7.500% Debs 23
13-Aug-10 13-Aug-10 13-Aug-10 13-Aug-10 13-Aug-10
Ba1 Ba1 Ba1 Ba1 Ba1
BBBBBBBBBBBBBBB-
BBBBBBBBBBBBBBB-
A56
Rising stars
Issuer Qwest Qwest Qwest Qwest Qwest QWest Communications Intl. QWest Communications Intl. QWest Communications Intl. Qwest Corporation August total HBOS plc HBOS plc September total Advance Auto Parts Freeport-McMoRan Copper & Gold Freeport-McMoRan Copper & Gold BorgWarner BorgWarner October total Union Carbide Union Carbide Union Carbide Union Carbide Mariner Energy Mariner Energy Mariner Energy November total Total rising stars
Security 7.125% Debs 43 7.250% Debs 25 7.200% Debs 26 7.250% Debs 35 7.375% Debs 30 8.375% Sr Nts 16 7.500% Sr Nts 14 7.625% Sr Nts 15 6.500% Sr Nts 17
Date 13-Aug-10 13-Aug-10 13-Aug-10 13-Aug-10 13-Aug-10 13-Aug-10 13-Aug-10 13-Aug-10 13-Aug-10
Moodys Rating (old) Rating (new) Ba1 Baa3 Ba1 Baa3 Ba1 Baa3 Ba1 Baa3 Ba1 Baa3 Ba1 Baa3 Ba1 Baa3 Ba1 Baa3 Ba1 Baa3
S&P Rating (old) Rating (new) BBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBB-
Amount ($ mn) 250.0 250.0 250.0 250.0 55.2 810.5 600.0 400.0 500.0 7,924.7 2,000.0 750.0 2,750.0 300.0 3,011.0 1,079.0 134.0 120.7 4,644.7 200.0 175.0 150.0 11.9 300.0 300.0 300.0 1,436.9 32,736.4
6.75% Sr Sub Nts 18 6% Sr Sub Nts 33
13-Sep-10 13-Sep-10
Ba1 Ba1
Baa3 Baa3
BBBBBB-
BBBBBB-
5 3/4% Sr Nts 20 8.375% Sr Nts 17 8 1/4% Sr Nts 15 8% Sr Nts 19 7.125% Sr Nts 29
07-Oct-10 13-Oct-10 13-Oct-10 27-Oct-10 27-Oct-10
Ba1 Ba2 Ba2 Ba1 Ba1
BBBBBBBBBBBB BBB
BBBBBBBBBBBB BBB
7.75% Sr Nts 96 7.875% Sr Nts 23 7.5% Sr Nts 25 6.79% Sr Nts 25 7 1/2% Nts 13 11 3/4% Nts 17 8% Nts 17
01-Nov-10 01-Nov-10 01-Nov-10 01-Nov-10 12-Nov-10 12-Nov-10 12-Nov-10
Ba1 Ba1 Ba1 Ba1 B3 B3 B3
Baa3 Baa3 Baa3 Baa3 B3 B3 B3
BBBBBBBBBBBBB+ B+ B+
BBBBBBBBBBBBAAA-
A57
Fallen angels
Issuer Windstream FirstEnergy FirstEnergy February total Rockies Express Rockies Express Rockies Express March total Phillips Van-Heusen Promise Co Ltd May total Security 7 3/4% Sr Nts 15 7 3/8% Nts 31 6.45% Nts 11 Date 04-Feb-10 11-Feb-10 11-Feb-10 Moodys Old New Baa3 Baa3 Baa3 Baa3 Baa3 Baa3 S&P Old BBBBBBBBBNew BB+ BB+ BB+ Amount ($ mn) 400.0 1,500.0 250.0 2,150.0 550.0 500.0 250.0 1,300.0 100.0 500.0 600.0 650.0 500.0 284.7 150.0 2,360.0 1,750.0 1,750.0 750.0 600.0 500.0 325.0 300.0 275.0 235.1 135.0 131.4 117.3 114.4 111.9 78.0 60.5 53.8 48.8 38.6 17.2 0.3 900.0 422.0 400.0 200.0 13,259.0 255.2 450.0 300.0 250.0 150.0 1,250.0
6.85% Sr Nts 18 6.25% Sr Nts 13 7.5% Sr Nts 38
12-Mar-10 12-Mar-10 12-Mar-10
Baa3 Baa3 Baa3
Ba1 Ba1 Ba1
BBB BBB BBB
BBB BBB BBB
7. 3/4% Sr Sec Nts 23 5.95% Sr Nts 12
10-May-10 28-May-10
Baa3 Baa2
Ba2 Ba1
BBB BBB-
BBB BBB-
Kerr-Mcgee Corp Kerr-Mcgee Corp Kerr-Mcgee Corp Kerr-Mcgee Corp Anadarko Petroleum Corp Anadarko Petroleum Corp Anadarko Petroleum Corp Anadarko Petroleum Corp Anadarko Petroleum Corp Anadarko Petroleum Corp Anadarko Petroleum Corp Anadarko Petroleum Corp Anadarko Petroleum Corp Anadarko Petroleum Corp Anadarko Petroleum Corp Anadarko Petroleum Corp Anadarko Petroleum Corp Anadarko Petroleum Corp Anadarko Petroleum Corp Anadarko Petroleum Corp Anadarko Petroleum Corp Anadarko Petroleum Corp Anadarko Petroleum Corp Anadarko Petroleum Corp Anadarko Petroleum Corp Anadarko Petroleum Corp Anadarko Finance Co Anadarko Finance Co Universal Health Services Universal Health Services June total Seminole Tribe QEP Resources QEP Resources QEP Resources QEP Resources NGPL Pipeco
6.95% Guar Nts 24 7.875% Guar Nts 31 6.875% Guar Nts 11 7.125% Guar Nts 27 0% Sr Nts 36 5.95% Sr Nts 16 6.45% Sr Nts 36 6.2% Sr Nts 40 8.7% Sr Nts 19 7.625% Sr Nts 14 7.95% Sr Nts 39 6.95% Sr Nts 19 5.75% Sr Nts 14 7.15% Sr Nts 28 7.2% Sr Nts 29 6.125% Sr Nts 12 7.95% Guar Nts 29 7.05% Sr Nts 18 7.5% Sr Nts 26 7.5% Sr Nts 96 7.73% Sr Nts 96 7% Sr Nts 27 7.25% Sr Nts 96 5% Sr Nts 12 6.625% Sr Nts 28 7.25% Sr Nts 25 7.5% Guar Nts 31 6.75% Guar Nts 11 7 1/8% Nts 16 6 3/4% Nts 11
18-Jun-10 18-Jun-10 18-Jun-10 18-Jun-10 18-Jun-10 18-Jun-10 18-Jun-10 18-Jun-10 18-Jun-10 18-Jun-10 18-Jun-10 18-Jun-10 18-Jun-10 18-Jun-10 18-Jun-10 18-Jun-10 18-Jun-10 18-Jun-10 18-Jun-10 18-Jun-10 18-Jun-10 18-Jun-10 18-Jun-10 18-Jun-10 18-Jun-10 18-Jun-10 18-Jun-10 18-Jun-10 25-Jun-10 25-Jun-10
Baa3 Baa3 Baa3 Baa3 Baa3 Baa3 Baa3 Baa3 Baa3 Baa3 Baa3 Baa3 Baa3 Baa3 Baa3 Baa3 Baa3 Baa3 Baa3 Baa3 Baa3 Baa3 Baa3 Baa3 Baa3 Baa3 Baa3 Baa3 Baa3 Baa3
Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Baa3 Baa3
BBBBBBBBBBBBNR BBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBB-
BBBBBBBBBBBBNR BBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBBB+ BB+
5.798% Nts 13 6.8% Sr Nts 18 6.8% Nts 20 6.05% Nts 16 7.5% Nts 11 7 1/8% Sr Nts 17
02-Jul-10 02-Jul-10 02-Jul-10 02-Jul-10 02-Jul-10 29-Jul-10
Ba1 Ba1 Ba1 Ba1 Ba1 Ba1
BBB BBB+ BBB+ BBB+ BBB+ BBB-
BBB BB+ BB+ BB+ BB+ BBB-
A58
Fallen angels
Moodys Issuer NGPL Pipeco NGPL Pipeco July total Marshall & Iisley Corporation Marshall & Iisley Corporation Marshall & Iisley Corporation Marshall & Iisley Corporation Marshall & Iisley Corporation Marshall & Iisley Corporation October total Union Planters Regions Financial Corp Regions Financial Corp Regions Financial Corp Regions Financial Corp Regions Bank Regions Bank AmSouth Bank AmSouth Bank Seminole Tribe November total Total fallen angels
S&P New Ba1 Ba1 Old BBBBBBNew BBBBBBAmount ($ mn) 1,250.0 500.0 4,405.2 350.0 300.0 277.7 250.0 250.0 199.4 1,627.1 500.0 700.0 500.0 350.0 250.0 750.0 500.0 500.0 350.0 280.0 4,680.0 28,021.2x
Security 6.514% Sr Nts 12 7.768% Sr Nts 37
Date 29-Jul-10 29-Jul-10
Old Baa3 Baa3
4.85% Sub Nts 15 5.0% Sr Nts 17 6.375% Sub Nts 11 5.35% SR Nts 11 5.25% Sr Nts 12 FRNs Sub Nts 12
21-Oct-10 21-Oct-10 21-Oct-10 21-Oct-10 21-Oct-10 21-Oct-10
BBBBBBBBBBBBBBBBBB-
BB+ BB+ BB+ BB+ BB+ BB+
4.375% Sr Nts 10 7.75% Sr Nts 14 5.75% Sr Nts 15 FRN Sr Nts 12 4.875% Sr Nts 13 7.5% Sub Nts 18 6.45% Sub Nts 37 4.85% Sub Nts 13 5.2% Sub Nts 15 6.535% Nts 20
01-Nov-10 01-Nov-10 01-Nov-10 01-Nov-10 01-Nov-10 01-Nov-10 01-Nov-10 01-Nov-10 01-Nov-10 02-Nov-10
Baa3 Baa3 Baa3 Baa3 Baa3 Baa3 Baa3 Baa2 Baa2 Baa3
Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1
BBBBBBBBBBBBBBBBBBBBBBBBBBBBBB-
BBBBBBBBBBBBBBBBBBBBBBBBBBBBBB-
A59
High-yield merger and acquisition activity

Selected acquisitions targeting high-yield issuers
Date Announced 04-Jan-10 04-Jan-10 25-Jan-10 26-Jan-10 27-Jan-10 28-Jan-10 Target Boston Scientific Corp. Starwood Hotels & Resorts Worldwide Teck Resources Ltd: Certain Assets Chesapeake Energy Corp. Ticketmaster Entertainment Inc Unitymedia GmbH January total Life Technologies Corp Affiliated Computer Services Inc TXCO Resources Inc: Maverick basin Koosharem Corp. Petroleum Geo-Services Fontainebleau Las Vegas/Old Terex Corp: Mining Eqpt. Business Cemex SAB de CV: Certain Assets February total AES Corp/The Interstate Hotels & Resorts Inc Nortel Networks Corp: Opt. & Carrier Chesapeake Energy Corp. Shale ION Geophysical Corp. ION Geophysical Corp. El Paso Corp: Multiple Targets Range Resources Corp. March total Nortel Networks Corp: Multiple Targets Allied Capital Corp Ally Financial: Interleasing Australia Ltd Chaparral Energy Inc Terra Industries Inc Banco de Oro Unibank Inc Sears Canada Inc Petrohawk Energy: West Edmond Unit Targa Resources Inc: Nat. Gas April total El Paso Corp: Mexican Pipeline Unisys Corp: Health Info.n Mgmt. Tembec Inc: Multiple Targets Forest City Enterprises Inc: NJ Nets Petrohawk Energy Corp: Terryville Cheniere Energy: Freeport LNG Denbury Resources Inc: Oil/Nat. Gas Chesapeake Energy Corp Navios Maritime Holdings Inc. Zenith National Insurance Corp Kerasotes Showplace Theatres Petrohawk Energy Corp Regency Energy Partners LP Acquirer Sonova Holding AG Steiner Leisure Ltd Royal Gold Inc Total SA Live Nation Entertainment Inc Liberty Global Inc Transaction Size ($ mn) 489.0 100.0 269.6 800.0 670.0 5,224.8 7,553.4 450.0 7,891.0 310.0 248.5 210.0 148.0 1,300.0 420.0 10,977.4 1,580.9 295.8 744.0 253.0 175.0 108.5 810.0 330.0 4,297.2 103.0 632.2 190.9 345.0 4,286.5 150.0 558.1 155.0 420.0 6,840.7 300.0 135.0 134.7 200.0 320.0 104.0 900.0 600.0 110.0 1,321.0 275.0 875.0 300.0 Industry Healthcare Gaming Lodging and Leisure Metals and Mining Energy Gaming Lodging and Leisure Cable and Satellite
01-Feb-10 08-Feb-10 11-Feb-10 12-Feb-10 15-Feb-10 18-Feb-10 19-Feb-10 22-Feb-10
Danaher Corp Xerox Corp Multiple acquirers Atlas Acquisition Holdings Corp Geokinetics Inc Icahn Enterprises LP Bucyrus International Inc SPO Partners & Co
Healthcare Technology Energy Services Energy Financial Industrials Housing
15-Mar-10 18-Mar-10 19-Mar-10 26-Mar-10 29-Mar-10 29-Mar-10 31-Mar-10 31-Mar-10
China Investment Corp Multiple acquirers Ciena Corp Statoil ASA BGP Inc BGP Inc El Paso Pipeline Partners LP Multiple acquirers
Utility Gaming Lodging and Leisure Technology Energy Energy Energy Energy Energy
01-Apr-10 05-Apr-10 09-Apr-10 12-Apr-10 16-Apr-10 26-Apr-10 27-Apr-10 30-Apr-10 30-Apr-10
Multiple acquirers Ares Capital Corp McMillan Shakespeare Ltd CCMP Capital Advisors CF Industries Holdings Inc International Finance Corp Sears Holdings Corp Private Co Targa Resources Partners LP
Technology Financial Financial Energy Chemicals Financial Retail Energy Energy
03-May-10 03-May-10 07-May-10 12-May-10 12-May-10 14-May-10 14-May-10 19-May-10 21-May-10 21-May-10 24-May-10 24-May-10 26-May-10
Sempra Energy Molina Healthcare Inc Paper Excellence BV Onexim Group Private Co. Multiple acquirers Quantum Resources Management Multiple acquirers Navios Maritime Partners LP Fairfax Financial Holdings Ltd AMC Entertainment Inc/OLD Kinder Morgan Energy Partners LP Energy Transfer Equity LP
Energy Technology Paper and Packaging Financial Energy Energy Energy Energy Transportation Financial Gaming Lodging and Leisure Energy Energy
A60

Date Announced 28-May-10 28-May-10 Target Hillman Cos Inc/The Nortel Networks: May total Dave & Buster's Inc Iowa Telecommunications Svcs. Inc Compton Petroleum Corp: Nat. Gas Vought Aircraft Industries Inc Styron Corp iStar Financial Inc: Land & Building Nortel Networks Corp: LG-Nortel El Paso Corp: Southern Nat. Gas Co June total Brinker International QEP Resources Inc infoGROUP Inc Palm Inc Atlantic Marine Holding Co CKE Restaurants Inc Copano Energy Credit Acceptance Corp SonicWALL Inc Vertafore Inc Interactive Data Corp LNR Property Corp July total Delta Petroleum Corp: Certain Assets Ford Motor Co: Volvo Car Corp Ball Corp: Plastic packaging business Fidelity National Info. Services Inc inVentiv Health Inc General Growth Properties Inc Allscripts Healthcare Solutions Inc Allscripts Healthcare Solutions Inc Casey's General Stores Inc Targa Resources Inc: Versado Gas Fibertech Networks RCN Corp Pacific Capital Bancorp NA Spansion Inc/Old: Wafer Mfg. Plant August total Gerdau Ameristeel Corp Cosan SA Industria e Comercio Elk City Gathering and Processing Targa Resources Investments Inc Valeant Pharmaceuticals Intl. Petrohawk Energy Ames True Temper Inc EVERTEC Inc September total Acquirer Oak Hill Capital Partners LP Genband Inc Transaction Size ($ mn) 815.0 282.0 6,671.7 570.0 1,129.3 143.2 1,440.0 1,630.0 1,300.0 242.0 394.0 6,848.5 180.0 5,398.1 636.3 772.3 352.0 1,009.5 300.0 200.0 484.9 1,400.0 2,996.2 417.0 14,146.3 130.0 1,800.0 265.0 2,500.0 1,092.8 3,925.0 577.4 100.0 500.0 230.0 500.0 1,192.3 500.0 130.0 13,442.4 1,607.1 225.4 682.0 167.5 2,433.5 123.0 542.0 595.0 6,375.4 Industry Industrials Telecommunications
01-Jun-10 01-Jun-10 08-Jun-10 15-Jun-10 17-Jun-10 28-Jun-10 29-Jun-10 30-Jun-10
Oak Hill Capital Partners LP Windstream Corp Multiple acquirers Triumph Group Inc Bain Capital Dividend Capital Total Realty Trust Inc Telefonaktiebolaget LM Ericsson El Paso Pipeline Partners LP
Food and Beverages Telecommunications Energy Industrials Chemicals Financial Technology Energy
01-Jul-10 01-Jul-10 02-Jul-10 02-Jul-10 13-Jul-10 13-Jul-10 21-Jul-10 23-Jul-10 26-Jul-10 29-Jul-10 30-Jul-10 30-Jul-10
Golden Gate Capital Corp Shareholders CCMP Capital Advisors Hewlett-Packard Co BAE Systems PLC Apollo Global Management TPG Capital Shareholders Multiple acquirers TPG Capital Multiple acquirers Investor Group
Food and Beverages Energy Technology Technology Services Food and Beverages Energy Financial Technology Technology Services Financial
02-Aug-10 02-Aug-10 03-Aug-10 03-Aug-10 05-Aug-10 19-Aug-10 20-Aug-10 20-Aug-10 25-Aug-10 25-Aug-10 26-Aug-10 27-Aug-10 31-Aug-10 31-Aug-10
Wapiti Energy Zhejiang Geely Holding Group Co Ltd Amcor Ltd/Australia Shareholders Thomas H Lee Partners LP Multiple acquirers Allscripts Healthcare Solutions Inc Allscripts Healthcare Solutions Inc Shareholders Targa Resources Partners LP Court Square Capital Partners LP Abry Partners Ford Financial Fund LP Texas Instruments Inc
Energy Automotive Paper and Packaging Financial Healthcare Financial Healthcare Healthcare Financial Energy Telecommunications Cable and Satellite Financial Technology
01-Sep-10 03-Sep-10 17-Sep-10 28-Sep-10 28-Sep-10 29-Sep-10 30-Sep-10 30-Sep-10
Gerdau SA Multiple acquirers Enbridge Energy Partners LP Targa Resources Partners LP Valeant Pharmaceuticals International Inc EV Energy Partner LP Griffon Corp Apollo Global Management
Metals and Mining Food and Beverages Services Energy Healthcare Energy Consumer Products Technology
Sources: J.P. Morgan; Bloomberg. A61

Date Announced 01-Oct-10 01-Oct-10 01-Oct-10 01-Oct-10 01-Oct-10 07-Oct-10 18-Oct-10 18-Oct-10 20-Oct-10 22-Oct-10 28-Oct-10 28-Oct-10 Target Continental Airlines Inc. General Motors Financial Co Inc Key Energy Services Inc. NBTY Inc. Quicksilver Resources Inc. Landry's Restaurants Inc. Teekay Corp: Multiple Targets Teekay Corp: Multiple Targets Burger King Holdings Inc Canon Communications Intergraph Corp. Scholastic Corp. October total Antero Resources Corp. Silgan Holdings Inc. CB Richard Ellis Group Mariner Energy Inc. CB Richard Ellis Group Navios Maritime Holdings Inc. Broadlane Group Inc. Chesapeake Energy Corp. Psychiatric Solutions Inc Sun Healthcare Group Inc Bowne & Co Inc. Gymboree Corp. November total Total acquisitions of high-yield issuers
Acquirer United Continental Holdings Inc General Motors Co Patterson-UTI Energy Inc Carlyle Group/The First Reserve Corp Management Group Teekay Offshore Partners LP Teekay LNG Partners LP 3G Capital Inc United Business Media Ltd Hexagon AB Shareholders
Transaction Size ($ mn) 3,185.6 3,306.5 238.0 3,812.0 701.0 177.6 286.0 160.0 3,933.9 287.0 2,125.0 150.0 18,362.7 268.0 175.0 255.0 3,801.5 144.5 176.9 850.0 1,080.0 3,114.4 277.8 451.4 1,673.3 12,267.7
Industry Transportation Automotive Energy Retail Energy Food and Beverages Paper and Packaging Paper and Packaging Food and Beverages Diversified Media Technology Financial
08-Nov-10 08-Nov-10 10-Nov-10 11-Nov-10 15-Nov-10 15-Nov-10 16-Nov-10 16-Nov-10 16-Nov-10 16-Nov-10 24-Nov-10 24-Nov-10
Multiple acquirers Shareholders Private Investor Apache Corp AOL Inc Navios Maritime Partners LP MedAssets Inc CNOOC Ltd Universal Health Services Inc Shareholders RR Donnelley & Sons Co Bain Capital
Energy Financial Financial Energy Financial Transportation Healthcare Energy Healthcare Healthcare Technology Retail
107,783.4
A62

Selected acquisitions by high-yield issuers
Date Announced 05-Jan-10 05-Jan-10 07-Jan-10 12-Jan-10 19-Jan-10 20-Jan-10 27-Jan-10 28-Jan-10 29-Jan-10 29-Jan-10 31-Jan-10 Target Seara Alimentos SA Substantially all assets Wolfberry trend in Permian Basin Segovia Inc Sensor Technologies Inc/NJ VTR GlobalCom SA Ticketmaster Entertainment Inc Unitymedia GmbH i2 Technologies Inc Oil & Natural Gas properties/Permian 40 Long Term Care Facilities January total Montenay International Standard Diagnostics Inc Mandra Forestry Finance Ltd NuVox Inc two real estate portfolios Concert Industries Corp Kroll Laboratory Specialists Inc Fontainebleau Las Vegas/Old Terex Corp: Mining Equipment Bus. Mimosa Systems Inc February total Sturm Foods Inc Encore Acquisition Co Critical Homecare Solutions Holdings Inc Wolfberry Oil Assets El Paso Corp: Multiple Targets Clearwire Corp March total Sunoco Chemicals Inc Allied Capital Corp Mapa Spontex Baby Care and Home Care Blackhawk Industries Products Group Unlimited Terra Industries Inc Cumberland Resources Corp BTV Group Fares Sears Canada Inc Techwell Inc AMICAS Inc Appalachian E&P Business Maryland Jockey Club of Baltimore City Inc/The Keystone North America Inc Targa Resources Inc: Nat. Gas Businesses Multiple Targets April total Transaction Acquirer Size ($ mn) Marfrig Alimentos SA 899.0 Mariner Energy Inc 215.0 Concho Resources Inc/Midland TX 213.0 Inmarsat PLC 110.0 Mantech International Corp 242.0 Liberty Global Inc 167.0 Live Nation Entertainment Inc 670.0 Liberty Global Inc 5,224.8 JDA Software Group Inc 225.8 Linn Energy 154.5 Omega Healthcare Investors Inc 244.0 8,365.1 Covanta Holding Corp Alere Inc Sino-Forest Corp Windstream Corp Lennar Corp PH Glatfelter Co Alere Inc Icahn Enterprises LP Bucyrus International Inc Iron Mountain Inc 626.9 155.9 185.4 646.8 243.0 237.5 110.0 148.0 1,300.0 112.0 3,765.5 660.0 4,062.2 350.9 126.0 810.0 1,176.0 7,185.1 350.0 632.2 500.0 172.3 4,286.5 939.0 400.0 313.8 558.1 364.7 189.7 3,475.0 113.0 261.4 420.0 150.0 13,125.7 Industry Food and Beverages Energy Energy Cable and Satellite Industrials Cable and Satellite Gaming Lodging and Leisure Cable and Satellite Technology Energy Healthcare
01-Feb-10 08-Feb-10 08-Feb-10 08-Feb-10 11-Feb-10 12-Feb-10 17-Feb-10 18-Feb-10 19-Feb-10 22-Feb-10
Services Healthcare Paper and Packaging Telecommunications Housing Paper and Packaging Healthcare Financial Industrials Services
02-Mar-10 10-Mar-10 25-Mar-10 31-Mar-10 31-Mar-10 31-Mar-10
TreeHouse Foods Inc Denbury Resources Inc BioScrip Inc Berry Petroleum Co El Paso Pipeline Partners LP Sprint Nextel Corp
Food and Beverages Energy Healthcare Energy Energy Telecommunications
01-Apr-10 05-Apr-10 06-Apr-10 12-Apr-10 16-Apr-10 19-Apr-10 20-Apr-10 23-Apr-10 27-Apr-10 28-Apr-10 29-Apr-10 30-Apr-10 30-Apr-10 30-Apr-10 30-Apr-10 30-Apr-10
Braskem SA Ares Capital Corp Jarden Corp Alliant Techsystems Inc CF Industries Holdings Inc Massey Energy Co Central European Media Ent. Ltd CoreLogic Inc Sears Holdings Corp Intersil Corp Merge Healthcare Inc Consol Energy Inc MI Developments Inc Service Corp International/US Targa Resources Partners LP W&T Offshore Inc
Chemicals Financial Consumer Products Industrials Chemicals Metals and Mining Broadcasting Services Retail Technology Healthcare Metals and Mining Financial Services Energy Energy
A63

Selected acquisitions by high-yield issuers
Date Announced 04-May-10 04-May-10 06-May-10 11-May-10 12-May-10 14-May-10 21-May-10 21-May-10 24-May-10 26-May-10 27-May-10 27-May-10 28-May-10 30-May-10 Target Switch & Data Facilities Co. Inc. Dakota Growers Pasta Co. Inc. Tommy Hilfiger Corp. Lake Arlington project Diedrich Coffee Inc Meridian Resource Corp/The Zenith National Insurance Corp. Navios Maritime Holdings Inc. Kerasotes Showplace Theatres Regency Energy Partners LP oil and gass assets/Permian basin Aton Pharma Inc. Nortel Networks: Carrier VoIP Friendship Dairies May total CNX Gas Corp. Etimex Solar GmbH Delta PLC Iowa Telecom. Services Inc. Stuart Weitzman Holdings Riskmetrics Group Inc. Coal Bed Methane Operations Dialysis Corp Of America CyrusOne Gichner Holdings Inc. Zynga Game Network Inc. Keystone Foods Vought Aircraft Industries Inc. Fusepoint Inc. Russell Hobbs Inc. 40 Long Term Care Fac. 2nd Tranch El Paso Corp: Southern Nat. Gas Co Haynesville & Bossier Shale Prop. Lions Gate Entertainment Corp. June total Conectiv Energy Fleet Verizon Comm: 4.8 million access lines Waste Services Inc. World Color Press Inc. HealthTronics Inc. Valbart Srl Arena Resources Inc. Credit Acceptance Corp. July total Premier Power Ltd. Cornell Cos Inc. Cliffstar Corp. Transaction Acquirer Size ($ mn) Equinix Inc 855.8 Viterra Inc 196.8 Phillips-Van Heusen Corp 3,144.6 Quicksilver Resources Inc 116.3 Green Mountain Coffee Roasters Inc 212.4 Alta Mesa Holdings LP 126.2 Fairfax Financial Holdings Ltd 1,321.0 Navios Maritime Partners LP 110.0 AMC Entertainment Inc/OLD 275.0 Energy Transfer Equity LP 300.0 Linn Energy 305.0 Valeant Pharmaceuticals International 318.0 Genband Inc 282.0 Dean Foods Co 130.0 7,693.0 Consol Energy Inc Solutia Inc Valmont Industries Inc Windstream Corp Jones Group Inc/The MSCI Inc Walter Energy Inc US Renal Care Inc Cincinnati Bell Inc Kratos Defense & Security Solutions Inc Softbank Corp Marfrig Alimentos SA Triumph Group Inc SAVVIS Inc Spectrum Brands Holdings Inc Omega Healthcare Investors Inc El Paso Pipeline Partners LP EXCO Resources Inc Icahn Enterprises LP 963.3 324.9 227.1 1,129.3 180.0 1,578.0 210.0 113.1 525.0 133.0 147.1 1,260.0 1,440.0 124.5 675.0 535.0 394.0 355.0 124.1 10,438.4 1,630.0 8,244.8 734.2 1,144.8 261.2 200.0 1,563.6 200.0 13,978.5 154.9 681.5 500.0 Industry Technology Food and Beverages Consumer Products Energy Food and Beverages Energy Financial Transportation Gaming Lodging and Leisure Energy Energy Healthcare Telecommunications Food and Beverages
01-Jun-10 01-Jun-10 01-Jun-10 01-Jun-10 02-Jun-10 02-Jun-10 02-Jun-10 04-Jun-10 11-Jun-10 14-Jun-10 14-Jun-10 15-Jun-10 15-Jun-10 16-Jun-10 16-Jun-10 29-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10
Metals and Mining Chemicals Industrials Telecommunications Cable and Satellite Technology Metals and Mining Healthcare Telecommunications Industrials Telecommunications Food and Beverages Industrials Telecommunications Consumer Products Healthcare Energy Energy Financial
01-Jul-10 01-Jul-10 06-Jul-10 06-Jul-10 13-Jul-10 16-Jul-10 19-Jul-10 23-Jul-10
Calpine Corp Frontier Communications Corp IESI-BFC Ltd Quad/Graphics Inc Endo Pharmaceuticals Holdings Inc Flowserve Corp SandRidge Energy Inc Shareholders
Utility Telecommunications Services Diversified Media Healthcare Industrials Energy Financial
12-Aug-10 13-Aug-10 17-Aug-10
AES Corp/The Geo Group Inc/The Cott Corp
Utility Services Food and Beverages
A64

Date Announced 18-Aug-10 20-Aug-10 20-Aug-10 25-Aug-10 25-Aug-10 25-Aug-10 31-Aug-10 Target Odyssey HealthCare Inc. Allscripts Healthcare Solutions Inc. Allscripts Healthcare Solutions Inc. Eclipsys Corp. Casey's General Stores Inc. Targa Resources Inc: Versado Gas Westin Chicago River North Hotel August total Gerdau Ameristeel Corp. Sumner Regional Health Systems Inc. HomEq Servicing Corp. Cia Industrial de Vidros Zephyr Gas Services LP Regency Hospital Co Bioniche Pharma Holdings Ltd. NewPath Networks Inc Scott Wilson Group PLC Gulf Insurance Co KSC Targa Resources Investments September total General Motors Financial Co. Inc. Continental Airlines Inc. Ion Torrent Systems Inc. Tres Palacios Gas Storage Sunflower Broadband Tamco Steel Inc. Scholastic Corp. ST Specialty Foods Inc. October total Gearco Inc. Actel Corp. Penwest Pharmaceuticals Co. Green Mountain Energy Co. Inergy Holdings LP Silgan Holdings Inc. Navios Maritime Holdings Inc. Cottonwood Generating Station Certain Assets Certain Assets Certain Assets Broadlane Group Inc./The Certain Assets Psychiatric Solutions Inc. Cameron Highway Oil Pipeline November total Total acquisitions by high-yield issuers
Transaction Acquirer Size ($ mn) Gentiva Health Services Inc. 890.8 Allscripts Healthcare Solutions Inc. 577.4 Allscripts Healthcare Solutions Inc. 100.0 Allscripts Healthcare Solutions Inc. 1,242.6 Shareholders 500.0 Targa Resources Partners LP 230.0 Host Hotels & Resorts Inc. 165.0 5,042.2 Gerdau SA LifePoint Hospitals Inc. Ocwen Financial Corp. Owens-Illinois Inc. Regency Energy Partners LP Select Medical Holdings Corp Mylan Inc/PA Crown Castle International Corp URS Corp Fairfax Financial Holdings Ltd Targa Resources Partners LP 1,607.1 145.0 1,300.0 603.0 185.0 210.0 550.0 115.0 347.8 208.6 167.5 5,438.9 3,306.5 3,185.6 375.0 735.0 165.0 165.0 150.0 180.0 8,262.2 225.0 407.4 146.7 350.0 3,222.0 175.0 176.9 525.0 285.0 310.0 330.0 850.0 578.0 3,114.4 330.0 11,025.4
Industry Healthcare Healthcare Healthcare Healthcare Financial Energy Gaming Lodging and Leisure
01-Sep-10 01-Sep-10 01-Sep-10 01-Sep-10 01-Sep-10 01-Sep-10 07-Sep-10 08-Sep-10 10-Sep-10 19-Sep-10 28-Sep-10
Metals and Mining Healthcare Financial Paper and Packaging Energy Healthcare Healthcare Telecommunications Services Financial Energy
01-Oct-10 01-Oct-10 04-Oct-10 14-Oct-10 15-Oct-10 22-Oct-10 28-Oct-10 28-Oct-10
General Motors Co United Continental Holdings Inc Life Technologies Corp Inergy LP Knology Inc Gerdau SA Shareholders TreeHouse Foods Inc
Automotive Transportation Healthcare Energy Cable and Satellite Metals and Mining Financial Food and Beverages
01-Nov-10 03-Nov-10 05-Nov-10 05-Nov-10 08-Nov-10 08-Nov-10 15-Nov-10 15-Nov-10 16-Nov-10 16-Nov-10 16-Nov-10 16-Nov-10 16-Nov-10 16-Nov-10 23-Nov-10
Hanesbrands Inc Microsemi Corp Endo Pharmaceuticals Holdings Inc NRG Energy Inc Inergy LP Shareholders Navios Maritime Partners LP NRG Energy Inc. Concho Resources Inc/Midland TX Lennar Corp. Linn Energy MedAssets Inc. Plains Exploration & Production Co. Universal Health Services Inc. Genesis Energy LP
Consumer Products Technology Healthcare Utility Energy Financial Transportation Utility Energy Housing Energy Healthcare Energy Healthcare Energy
94,319.9
A65
High-yield equity issuance

Date 6-Jan-10 11-Jan-10 13-Jan-10 13-Jan-10 14-Jan-10 20-Jan-10 20-Jan-10 21-Jan-10 21-Jan-10 21-Jan-10 26-Jan-10 28-Jan-10 Issuer Beazer Homes USA Inc Associated Banc-Corp El Paso Pipeline Partners LP Targa Resources Partners LP Berry Petroleum Co Cinemark Holdings Inc Inergy LP Cellu Tissue Holdings Inc Centene Corp Vantage Drilling Co Concho Resources Inc/Midland TX Avago Technologies Ltd January total Martin Midstream Partners LP Navios Maritime Partners LP Penske Automotive Group Inc Developers Diversified Realty Corp Graham Packaging Co Inc TreeHouse Foods Inc Wilmington Trust Corp Owens Corning ArvinMeritor Inc February total TRW Automotive Holdings Corp Copano Energy LLC Conexant Systems Inc Overseas Shipholding Group Inc Susquehanna Bancshares Inc Sensata Technologies Holding NV Aircastle Ltd Cinemark Holdings Inc International Coal Group Inc Genesis Energy LP Lazard Ltd Teekay Offshore Partners LP Commercial Vehicle Group Inc Linn Energy LLC Massey Energy Co Consol Energy Inc Viasat Inc Cardtronics Inc SS&C Technologies Holdings Inc MarkWest Energy Partners LP Omega Healthcare Investors Inc March total Teekay Tankers Ltd Brigham Exploration Co Metals USA Holdings Corp Carrizo Oil & Gas Inc Targa Resources Partners LP Amount ($ mn) 89.7 434.9 214.2 127.3 234.0 109.1 181.3 107.9 96.3 44.7 198.8 435.3 2,273.3 53.4 54.3 72.5 304.3 166.7 101.1 250.1 291.2 182.2 1,475.7 291.5 149.6 56.0 159.3 300.0 568.8 35.0 169.8 100.0 128.1 287.2 85.7 23.8 375.0 422.9 1,636.3 201.0 84.0 160.9 129.3 33.3 5,397.4 94.3 252.0 240.0 65.8 233.8 Industry Housing Financial Energy Energy Energy Gaming Lodging and Leisure Energy Paper and Packaging Healthcare Energy Energy Technology
3-Feb-10 3-Feb-10 3-Feb-10 9-Feb-10 10-Feb-10 23-Feb-10 23-Feb-10 24-Feb-10 25-Feb-10
Energy Transportation Automotive Financial Paper and Packaging Food and Beverages Financial Housing Automotive
1-Mar-10 3-Mar-10 5-Mar-10 5-Mar-10 9-Mar-10 10-Mar-10 11-Mar-10 11-Mar-10 11-Mar-10 16-Mar-10 17-Mar-10 17-Mar-10 18-Mar-10 23-Mar-10 23-Mar-10 25-Mar-10 25-Mar-10 30-Mar-10 30-Mar-10 31-Mar-10 31-Mar-10
Automotive Energy Technology Transportation Financial Industrials Financial Gaming Lodging and Leisure Metals and Mining Energy Financial Transportation Industrials Energy Metals and Mining Metals and Mining Cable and Satellite Services Technology Energy Healthcare
6-Apr-10 7-Apr-10 8-Apr-10 9-Apr-10 9-Apr-10
Transportation Energy Metals and Mining Energy Energy
A66

Date 14-Apr-10 14-Apr-10 15-Apr-10 21-Apr-10 21-Apr-10 22-Apr-10 26-Apr-10 28-Apr-10 28-Apr-10 29-Apr-10 30-Apr-10 Issuer Dollar General Corp Popular Inc CF Industries Holdings Inc Global Geophysical Services Inc MGIC Investment Corp Phillips-Van Heusen Corp PMI Group Inc/The Kansas City Southern Synovus Financial Corp E*Trade Financial Corp Navios Maritime Partners LP April total Beazer Homes USA Inc Kinder Morgan Energy Partners LP Radian Group Inc Entertainment Properties Trust Greenbrier Cos Inc Niska Gas Storage Partners LLC DuPont Fabros Technology Inc Express Inc Noranda Aluminum Holding Corp Vitamin Shoppe Inc May total CenterPoint Energy Inc FelCor Lodging Trust Inc General Maritime Corp El Paso Pipeline Partners LP June total Vantage Drilling Co July total Lazard Ltd Targa Resources Partners LP Regency Energy Partners LP Libbey Inc Martin Midstream Partners LP Avago Technologies Ltd Sabra Healthcare REIT Inc Teekay Offshore Partners LP Cardtronics Inc Aircastle Ltd Western Alliance Bancorp August total Inergy LP TRW Automotive Holdings Corp DigitalGlobe Inc El Paso Pipeline Partners LP Stonemor Partners LP Kraton Performance Polymers Inc September total Amount ($ mn) 702.0 1,000.0 1,000.0 90.0 700.0 332.5 478.3 195.7 701.3 301.0 80.3 6,466.8 72.6 430.6 550.0 147.6 50.0 358.8 276.0 272.0 80.0 146.6 2,384.2 283.8 151.3 206.6 288.0 929.6 50.0 50.0 225.6 161.2 363.0 39.2 29.1 304.1 207.3 116.3 98.0 32.8 43.8 1,620.4 364.9 282.4 181.5 367.4 36.0 212.0 1,444.3 Industry Retail Financial Chemicals Energy Financial Consumer Products Financial Transportation Financial Financial Transportation
4-May-10 4-May-10 5-May-10 6-May-10 6-May-10 11-May-10 12-May-10 12-May-10 13-May-10 19-May-10
Housing Energy Financial Financial Industrials Energy Technology Retail Metals and Mining Retail
9-Jun-10 16-Jun-10 17-Jun-10 18-Jun-10
Utility Gaming Lodging and Leisure Transportation Energy
26-Jul-10
Energy
3-Aug-10 10-Aug-10 11-Aug-10 12-Aug-10 12-Aug-10 13-Aug-10 13-Aug-10 17-Aug-10 18-Aug-10 19-Aug-10 19-Aug-10
Financial Energy Energy Consumer Products Energy Technology Healthcare Transportation Services Financial Financial
8-Sep-10 10-Sep-10 15-Sep-10 15-Sep-10 16-Sep-10 23-Sep-10
Energy Automotive Cable and Satellite Energy Services Chemicals

Date 1-Oct-10 6-Oct-10 8-Oct-10 13-Oct-10 14-Oct-10 28-Oct-10 Issuer Amount ($ mn) 99.6 23.5 97.1 868.8 81.3 249.0 1,419.2 107.9 95.1 114.8 106.1 179.5 137.3 482.0 1,991.3 351.2 35.8 485.0 15,774.0 232.9 115.2 193.5 87.8 20,489.2 43,949.9 Industry Transportation Industrials Transportation Gaming Lodging and Leisure Automotive Energy Teekay Tankers Ltd Kratos Defense & Security Solutions Inc Navios Maritime Partners LP MGM Resorts International Tower International Inc Energy XXI Bermuda Ltd October total Lazard Ltd Stoneridge Inc Spansion Inc Genesis Energy LP Cinemark Holdings Inc Swift Energy Co Sensata Technologies Holding NV General Growth Properties Inc El Paso Pipeline Partners LP Navios Maritime Acquisition Corp TRW Automotive Holdings Corp General Motors Co Aeroflex Holding Corp Petroleum Development Corp CVR Energy Inc Tutor Perini Corp November total Total high-yield equity issuance
1-Nov-10 2-Nov-10 3-Nov-10 4-Nov-10 9-Nov-10 11-Nov-10 12-Nov-10 15-Nov-10 16-Nov-10 16-Nov-10 16-Nov-10 18-Nov-10 18-Nov-10 18-Nov-10 19-Nov-10 23-Nov-10
Financial Automotive Technology Energy Gaming Lodging and Leisure Energy Industrials Financial Energy Transportation Automotive Automotive Technology Energy Energy Industrials
A68
High-yield calls
Date 01-Jan-10 04-Jan-10 04-Jan-10 05-Jan-10 08-Jan-10 14-Jan-10 15-Jan-10 15-Jan-10 20-Jan-10 20-Jan-10 20-Jan-10 20-Jan-10 21-Jan-10 22-Jan-10 25-Jan-10 27-Jan-10 27-Jan-10 28-Jan-10 30-Jan-10 Issuer BlockBuster Inc Massey Energy Riddell Sports Warnaco Norcraft Companies/Finance Galaxy Entertainment Intcomex Inc Viasystems Host Hotels & Resorts Host Marriott Viskase Vitamin Shoppe Industries Alliance Imaging Beazer Homes USA Team Health Forest Oil Payless Shoesource Trimas Corp Icahn Enterprises January total City Telecom Cott Beverages Cott Beverages Warner Chilcott B&G Foods B&G Foods Stone Energy Vanguard Health Systems Vanguard Health Systems Team Health Team Health Eye Care Centers of America Icahn Enterprises LaBranche & Co Ply Gem Industries QWest Communications International United Rentals Star Gas Partners Star Gas Partners Hornbeck Offshore Services B&G Foods Constellation Brands February total Jo-Ann Stores Celestica International IESY Repository Building Materials Entercom Radio Interface Interface Inc Chattem Evergreen Resources Inc Security 11 3/4% Sr Sec Nts 14 6 5/8% Nts 10 8.375% Sr Sub Nts 12 8.875% Sr Nts 13 9% Sr Sub Nts 11 FRNs 10 11 3/4% Sr Sec Nts 11 10 1/2% Guar Nts 11 7% Sr Nts 12 7% Nts 12 11 1/2% Nts 11 FRNs 12 7 1/4% Nts 12 8 5/8% Nts 11 11 1/4% Nts 13 7 3/4% Nts 14 8 1/4% Nts 13 9 7/8% Sr Nts 12 8 1/8% Nts 12 Amount ($ mn) 22.5 21.9 140.0 50.0 148.0 136.1 16.5 105.9 346.0 350.0 90.0 64.9 5.6 127.3 136.9 150.0 24.0 256.1 350.8 2,542.7 21.4 11.2 11.2 390.0 238.9 46.9 200.0 4.1 20.6 20.6 20.6 152.0 980.0 189.3 360.0 522.6 435.0 50.0 4.6 250.0 22.6 250.0 4,201.6 50.5 223.1 151.0 250.0 11.0 25.0 25.0 90.2 6.1
01-Feb-10 01-Feb-10 01-Feb-10 01-Feb-10 05-Feb-10 05-Feb-10 09-Feb-10 11-Feb-10 11-Feb-10 12-Feb-10 12-Feb-10 15-Feb-10 15-Feb-10 15-Feb-10 16-Feb-10 16-Feb-10 16-Feb-10 19-Feb-10 19-Feb-10 23-Feb-10 25-Feb-10 25-Feb-10
8.750% Sr Nts 15 8.000% Nts 11 8% Nts 11 8 3/4% Nts 15 8% nts 11 12% Sr Nts 16 8 1/4% Nts 11 11 1/4% Sr Sub Disc Nts 15 9% Sr Sub Nts 14 11 1/4% Nts 13 11.250% Sr Sub Nts 13 10.75% Sr Sub Nts 15 7.125% Sr Nts 13 11% Sr Nts 12 9% Sr Sub Nts 12 7.25% Sr Nts 12 6.5% Sr Nts 12 10.250% Sr Nts 13 10.250% Sr Nts 13 8.000% Sr Nts 17 12% Sr Nts 16 8.125% Sr Sub Nts 12
01-Mar-10 02-Mar-10 02-Mar-10 08-Mar-10 08-Mar-10 08-Mar-10 08-Mar-10 11-Mar-10 15-Mar-10
7.500% Sr Sub Nts 12 7.625% Sr Sub Nts 13 10.375% Sr Sec Nts 15 7.750% Sec Nts (2nd Lien) 14 7.625% Sr Sub Nts 14 9.500% Sr Sub Nts 14 9 1/2% Guar Nts 14 7.000% Sr Sub Nts 14 5 7/8% Sr Nts 12
A69
High-yield calls
Date 15-Mar-10 15-Mar-10 16-Mar-10 19-Mar-10 22-Mar-10 26-Mar-10 26-Mar-10 30-Mar-10 31-Mar-10 Issuer Level 3 Communications Waterford Gaming Sealy Mattress Flextronics International Coleman Cable Chinese Future Corp USF Corp Gregg Appliances Inc Time Warner March total Blockbuster Dole Food Freeport-McMoRan Copper & Gold Eco-Bat Cincinnati Bell Inc Innophos Sirius XM Radio Buckeye Technologies Ball Corp Central Garden & Pet Parker Drilling Group 1 Automotive Suburban Propane Partners First Industrial LP Denbury Resources North Amer Energy Partnr Stena April total Sensata Technologies Global Cash Access Amr Holdco/Emcare Holdco Duane Reade Duane Reade Meritage Corporation AES Corp Paiton Energy Funding Da-Lite Screen Co Inc Senior Housing Props Tr Terra Capital Beazer Homes USA Harrahs Operating Harrahs Operating Park Place Entertainment Vitamin Shoppe Industries Mastellone Hermanos Sa Galaxy Entertainment Fin Newfield Exploration SS&C Technologies Inc Levi Strauss Ryland Group International Wire Group Security 12 1/4% Guar Nts 13 8.625% Sr Nts 14 10 7/8% Sr Sec Nts 16 6.5% Sr Sub Nts 13 9.875% Sr Nts 12 12% Nts 15 8 1/2% Guar Nts 10 9% Sr Nts 13 9 1/4% Guar Nts 14 Amount ($ mn) 3.1 10.9 35.0 299.8 25.6 225.0 45.0 3.4 33.5 1,513.1 22.5 70.0 1,000.0 58.8 582.1 56.0 500.0 25.0 509.0 150.0 225.0 74.6 47.4 70.8 3.7 200.0 152.8 3,747.6 138.8 25.0 250.0 300.0 51.7 21.9 400.0 128.3 98.0 97.5 600.0 303.6 13.2 224.0 12.0 25.0 169.1 293.7 32.0 71.8 30.7 198.8 75.0
01-Apr-10 01-Apr-10 01-Apr-10 07-Apr-10 14-Apr-10 15-Apr-10 16-Apr-10 19-Apr-10 21-Apr-10 21-Apr-10 21-Apr-10 22-Apr-10 22-Apr-10 26-Apr-10 27-Apr-10 28-Apr-10 29-Apr-10
11 3/4% Nts 14 8.875% Sr Nts 11 FRNs 15 10.125% Sr Vds 13 8 3/8% Guar Nts 14 9.5% Sr Nts 12 9 5/8% Sr Unsec Nts 13 8.500% Sr Nts13 6 7/8% Sr Nts 12 9 1/8% Sr Nts 13 9 5/8% Sr Nts 13 8.25% Sr Sub Nts 13 6.875% Sr Nts 13 7.375% Sr Nts 11 8 1/4% Sr Nts 20 8 3/4% Sr Nts 11 7.5% Sr Nts 13
01-May-10 03-May-10 07-May-10 10-May-10 10-May-10 13-May-10 15-May-10 15-May-10 17-May-10 17-May-10 17-May-10 20-May-10 20-May-10 20-May-10 20-May-10 21-May-10 22-May-10 24-May-10 24-May-10 24-May-10 25-May-10 25-May-10 27-May-10
8.000% Sr Nts 14 8.750% Sr Sub Nts12 10% Sr Sub Nts 15 11 3/4% Nts 15 9 3/4% Nts 11 7% Nts 14 8 3/4% Nts 13 9.340% Guar Nts 14 9 1/2% Sr Nts 11 7 7/8% Sr Nts 15 7 3/4% Nts 19 8 3/8% Sr Nts 12 8% Sr Nts 11 5 1/2% Sr Nts 10 8.125% Sr Sub Nts11 FRNs 12 8% Sr Sec Nts 12 9 7/8% Sr Guar Nts 12 7.625% Sr Nts 11 11 3/4% Sr Nts 13 9 3/4% Nts 15 5.375% Sr Nts 12 10% Sr Sec Nts 11
A70
High-yield calls
Date 27-May-10 28-May-10 28-May-10 28-May-10 31-May-10 Issuer Susser Holdings & Financ Charter Communications Charter Communications Standard Pacific Corp Telcordia Technologies May total Salem Communications Securus Technologies Inc XM Satellite Radio Standard Pacific Amkor Technologies Amkor Technologies Standard Pacific Corp Standard Pacific Corp Kansas City Southern de Mexico Kansas City Southern de Mexico Kansas City Southern Railway Agile Property Holdings Davita Lamar Media Phillips Van-Heusen Phillips Van-Heusen Pinnacle Entertainment Douglas Dynamics Douglas Dynamics American Seafood Ak Steel Corp Ferrellgas Warnaco Noranda Aluminum Acquisition Advance Agro Public Chesapeake Energy Chesapeake Energy Chesapeake Energy iStar Financial L-3 Communications LPL Holdings Inc LPL Holdings Inc RailAmerica Owens-Brockway Glass Container INVISTA/Arteva Specialties iStar Financial Unifi June total Dave & Busters Dollarama Group International Coal L-3 Communications Telcordia Technologies Vought Aircraft Industries Morris Publishing Security 10 5/8% Sr Nts 13 8.375% Sr Sec Nts (2nd) 14 8.75% Sr Nts 13 7 3/4% Sr Nts 13 10% Sr Sub Nts 13 Amount ($ mn) 300.0 89.0 59.2 90.0 6.7 4,104.8 17.5 154.0 113.7 48.6 358.2 53.6 31.6 31.6 70.0 100.0 66.5 400.0 200.0 19.4 15.7 49.5 200.0 150.0 150.0 196.0 182.7 34.1 110.9 239.1 103.3 670.4 363.8 300.0 135.0 400.0 330.0 330.0 75.2 450.0 349.7 155.3 15.0 6,670.4 175.0 185.0 5.9 400.0 17.6 270.0 8.8
01-Jun-10 01-Jun-10 01-Jun-10 02-Jun-10 03-Jun-10 03-Jun-10 03-Jun-10 03-Jun-10 04-Jun-10 04-Jun-10 04-Jun-10 07-Jun-10 07-Jun-10 07-Jun-10 07-Jun-10 07-Jun-10 07-Jun-10 09-Jun-10 09-Jun-10 14-Jun-10 15-Jun-10 15-Jun-10 15-Jun-10 19-Jun-10 21-Jun-10 21-Jun-10 21-Jun-10 21-Jun-10 21-Jun-10 21-Jun-10 22-Jun-10 22-Jun-10 24-Jun-10 25-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10
9.625% Sr Sec Nts (2nd Lien)16 11% Sr Sec Nts 11 10% Sr Nts 11 6.875% Sr Nts 11 7.750% Sr Nts 13 7.125% Sr Nts 11 7 3/4% Sr Nts 13 7 3/4% Sr Nts 13 12.500% Sr Nts 16 0.09375 12 13.000% Sr Nts 13 9.000% Sr Sec Nts 13 6.625% Sr Nts 13 7.250% Sr Sub Nts13 8 1/8% Nts 10 7 1/4% Nts 11 8.250% Sr Sub Nts 12 7 3/4% Sr Nts 12 7.750% Sr Nts 12 11.500% Sr Disc Nts11 7 3/4% Sr Nts 12 8.75% Sr Nts 12 8.875% Sr Nts13 FRN Sr Nts 14 11% Nts 12 6 7/8% Sr Nts 16 7 1/2% Sr Nts 13 7 1/2% Sr Nts 14 10% Sr Sec Nts (2nd) 14 6 188% Nts 14 10 3/4% Nts 15 10.750% Sr Sub Nts 15 9 1/4% Nts 17 8 1/4% Nts 13 9 1/4% Nts 12 8% Nts 11 11.500% Sr Sec Nts (1st Lien) 14
01-Jul-10 15-Jul-10 15-Jul-10 15-Jul-10 15-Jul-10 16-Jul-10 19-Jul-10
11.250% Sr Nts 14 FRN Sr Nts 12 10.250% Sr Nts 14 6.125% Sr Sub Nts 13 FRN Sr Sec Nts 12 8.000% Sr Nts 11 10.000% Sec Nts 14
A71
High-yield calls
Date 22-Jul-10 28-Jul-10 28-Jul-10 Issuer Chesapeake Energy Case New Holland ESI Tractebel Acquisition July total Phibro Animal Health Indosat Finance Graphic Packaging Sonic Automotive Cardtronics Inc Yonkers Racing Corp Host Marriott American Capital Crown Americas Inc Range Resources Vantage Drilling August total Tenneco Automotive Wynn Las Vegas Pride International Iron Mountain Whiting Petroleum Whiting Petroleum Arch Western Finance Esterline Technologies Peabody Energy Texas Industries Texas Industries Cornell Delta Air Lines Bumble Bee Foods Blount Chesapeake Energy Chesapeake Energy Chesapeake Energy Petrohawk Energy Corp PetroQuest Energy Inc Cardtronics Inc Innophos Clean Harbors Goodyear Tire & Rubber Goodyear Tire & Rubber Goodyear Tire & Rubber September total Buckeye Technologies Neff AES Brigham Exploration Exco Resources Harvest Operations Morris Publishing Security 6.375% Sr Nts15 7.125% Sr Nts 14 7.990% Sec Bds 11 Amount ($ mn) 600.0 500.0 83.6 2,245.9 160.0 66.9 101.7 20.0 100.0 21.8 225.0 129.0 200.0 200.0 135.0 1,359.4 245.0 83.0 500.0 208.3 150.0 220.0 500.1 175.0 650.0 300.0 250.0 112.0 74.4 21.8 175.0 54.9 33.4 17.5 115.8 150.0 101.8 190.0 30.0 387.9 325.0 260.0 5,330.9 140.0 34.0 290.3 160.0 444.7 209.6 1.5
09-Aug-10 10-Aug-10 15-Aug-10 18-Aug-10 20-Aug-10 23-Aug-10 25-Aug-10 26-Aug-10 27-Aug-10 27-Aug-10 30-Aug-10
10.000% Sr Nts 13 7.750% Sr Nts 10 9.500% Sr Sub Nts 13 8.625% Sr Sub Nts 13 9.250% Sr Sub Nts 13 11.375% Sr Sec Nts (2nd Lien) 16 7.125% Sr Nts 13 8.960% Sr Sec Nts 13 7.625% Sr Nts 13 7.375% Sr Sub Nts 13 13.500% Sr Sec Nts 13
02-Sep-10 03-Sep-10 05-Sep-10 07-Sep-10 08-Sep-10 08-Sep-10 09-Sep-10 09-Sep-10 10-Sep-10 10-Sep-10 10-Sep-10 13-Sep-10 13-Sep-10 15-Sep-10 16-Sep-10 16-Sep-10 16-Sep-10 16-Sep-10 20-Sep-10 20-Sep-10 27-Sep-10 27-Sep-10 28-Sep-10 29-Sep-10 29-Sep-10 29-Sep-10
10.250% Sr Sec Nts (2nd Lien) 13 6.625% 1st Mtg Nts 14 7.375% Sr Nts 14 7.750% Sr Sub Nts 15 7.250% Sr Sub Nts 12 7.250% Sr Sub Nts 13 6.750% Sr Nts 13 7.750% Sr Sub Nts 13 6.875% Sr Nts 13 7.250% Sr Nts 13 7.250% Sr Nts 13 10.750% Sr Nts 12 9.500% Sr Sec Nts (1st Lien) 14 7.750% Sr Sec Nts 15 8.875% Sr Sub Nts 12 7.000% Sr Nts 14 6.625% Sr Nts 16 6.250% Sr Nts 18 9.125% Sr Nts 13 10.375% Sr Nts 12 9.250% Sr Sub Nts 13 8.875% Sr Sub Nts 14 7.625% Sr Sec Nts 16 7.857% Sr Nts 11 8.625% Sr Nts 11 9.000% Sr Nts 15
01-Oct-10 07-Oct-10 08-Oct-10 08-Oct-10 15-Oct-10 19-Oct-10 19-Oct-10
8.500% Sr Nts 13 10.000% Sr Nts 15 8.750% Sr Sec Nts (2nd Lien) 13 9.625% Sr Nts 14 7.250% Sr Nts 11 7.875% Sr Nts 11 10.000% Sec Nts 14
A72
High-yield calls
Date 21-Oct-10 21-Oct-10 21-Oct-10 21-Oct-10 25-Oct-10 25-Oct-10 27-Oct-10 27-Oct-10 27-Oct-10 29-Oct-10 29-Oct-10 29-Oct-10 31-Oct-10 Issuer CIT Group Funding Co of Delaware CIT Group Funding Co of Delaware Visant Holding Corporation Visant Holding Corporation PHI Inc United Components Beverages & More Inc Valeant Pharmaceuticals Valeant Pharmaceuticals Anadarko Finance Graphic Packaging GSC Holdings Mobile Satellite Venture October total Ames True Temper Ames True Temper Dennys FTI Consulting MetroPCS NBTY Nielsen Finance LLC Regal Cinemas CIT Group Funding Co of Delaware CIT Group Funding Co of Delaware Stoneridge Inc Alliance Laundry Systems FMG Finance Pty Ltd FMG Finance Pty Ltd FMG Finance Pty Ltd ICON Health & Fitness Associated Materials Associated Materials INVISTA/Arteva Specialties Silgan Holdings STATS ChipPac DJO Finance Cablemas SA MetroPCS MetroPCS Davita Davita Domtar Sinclair Broadcast Michaels Stores Trinity Industries Host Marriott Huntsman International LLC Nielsen Finance LLC United Rentals United Rentals November total Total called debt
Security 10.250% Sr Sec Nts (2nd Lien) 14 10.250% Sr Sec Nts (2nd Lien) 13 0.000%/10.250% Sr Disc Nts 13 7.625% Sr Sub Nts 12 7.125% Sr Nts 13 9.375% Sr Sub Nts 13 9.250% Sr Sec Nts 12 7.625% Sr Nts 20 8.375% Sr Nts 16 6.750% Guar Nts 11 9.500% Sr Sub Nts 13 8.000% Sr Guar Nts 12 0.000%/14.000% Sr Sec Disc Nts 13
Amount ($ mn) 322.4 214.9 5.7 65.3 10.5 230.0 100.0 400.0 365.0 422.0 40.2 185.0 750.0 4,391.2 109.4 150.0 49.7 14.2 686.9 190.0 750.0 51.5 537.3 322.4 73.1 150.0 1,026.0 317.5 250.0 155.0 431.0 200.0 174.6 200.0 47.0 200.0 175.0 400.0 550.0 119.2 142.4 134.8 49.0 13.7 201.5 250.0 188.3 120.0 467.5 253.0 9,149.9 45,257.3
01-Nov-10 01-Nov-10 01-Nov-10 01-Nov-10 01-Nov-10 01-Nov-10 01-Nov-10 01-Nov-10 04-Nov-10 04-Nov-10 04-Nov-10 05-Nov-10 08-Nov-10 08-Nov-10 08-Nov-10 08-Nov-10 12-Nov-10 12-Nov-10 15-Nov-10 15-Nov-10 15-Nov-10 17-Nov-10 18-Nov-10 18-Nov-10 18-Nov-10 19-Nov-10 19-Nov-10 19-Nov-10 19-Nov-10 22-Nov-10 26-Nov-10 29-Nov-10 29-Nov-10 29-Nov-10 29-Nov-10 29-Nov-10
10.000% Sr Sub Nts 12 FRN Sr Sub Nts 12 10.000% Sr Nts 12 7.625% Sr Nts 13 9.250% Sr Nts 14 7.125% Sr Sub Nts 15 10.000% Sr Nts 14 9.375% Sr Sub Nts 12 10 1/4% Nts 16 10 1/4% Nts 15 11.500% Sr Nts 12 8.500% Sr Sub Nts 13 10.625% Sr Sec Nts (1st Lien) 16 10.000% Sr Sec Nts (1st Lien) 13 FRN Sr Sec Nts (1st Lien) 11 11.250% Sr Sub Nts 12 0.000%/11.250% Sr Disc Nts 14 9.875% Sr Sec Nts (2nd Lien) 16 9.250% Sr Nts 12 6.750% Sr Sub Nts 13 6.750% Sr Guar Nts 11 11.750% Sr Sub Nts 14 9.375% Sr Nts 15 9.250% Sr Nts 14 9.250% Sr Nts 14 7.250% Sr Sub Nts 15 6.625% Sr Nts 13 7.875% Sr Nts 11 8.000% Sr Sub Nts 12 10.000% Sr Nts 14 6.500% Sr Nts 14 7.125% Sr Nts 13 7.875% Sr Sub Nts 14 10.000% Sr Nts 14 7.750% Sr Sub Nts 13 7.000% Sr Sub Nts 14
A73
High-yield tenders
Date 02-Jan-10 04-Jan-10 04-Jan-10 05-Jan-10 06-Jan-10 07-Jan-10 11-Jan-10 15-Jan-10 15-Jan-10 26-Jan-10 26-Jan-10 27-Jan-10 29-Jan-10 29-Jan-10 31-Jan-10 31-Jan-10 31-Jan-10 Issuer Tyson Foods KAR Holdings Buckeye Technologies Targa Resources Intcomex Inc Sistema Capital SA National Beef Packaging/NB Finance Crown Castle International Crown Castle International Rock-Tenn Co Rock-Tenn Co Sothebys Holdings Chartered Semiconductor Chartered Semiconductor K. Hovnanian Enterprises K. Hovnanian Enterprises Claires Stores January total Level 3 Financing First Industrial LP First Industrial LP First Industrial LP First Industrial LP Tyson Foods Tyson Foods Libbey Glass Libbey Glass Teekay Corporation Vanguard Health Systems Vanguard Health Systems Harvest Operations Williams Companies Williams Companies Williams Companies Williams Companies Williams Companies Williams Companies Williams Companies Williams Companies Williams Companies Coleman Cable Newfield Exploration Developers Diversified Realty Developers Diversified Realty McClatchy Freeport-McMoRan Copper & Gold Freeport-McMoRan Copper & Gold Albertsons Inc SUPERVALU Sterling Chemicals Biomet Inc Biomet Inc Lennar Security 7% Nts 18 10.000% Sr Sub Nts 15 8.500% Sr Nts 13 8.5% Sr Nts 13 11 3/4% Sr Sec Nts 11 8.875% Nts 11 10.500% Sr Nts 11 7 3/4% Nts 17 9% Nts 15 5 5/8% Sr Sec Nts 13 5 5/8% Nts 13 7 3/4% Nts 15 6.375% Sr Nts 15 6.250% Sr Nts 13 6.375% Sr Nts 14 6.500% Sr Nts14 10.500% Sr Sub Nts 17 Amount ($ mn) 33.8 225.6 35.0 250.0 80.4 257.3 122.1 199.6 33.1 19.5 19.5 21.8 133.0 38.2 10.0 25.0 9.9 1,513.8 546.9 81.9 85.1 33.1 8.9 283.0 67.5 306.0 306.0 151.1 212.0 554.4 40.4 163.8 178.7 668.3 163.2 601.7 586.4 111.0 428.7 98.0 214.4 143.0 1.5 51.3 148.0 136.0 139.0 21.3 10.1 2.0 4.0 4.0 37.3
02-Feb-10 05-Feb-10 05-Feb-10 05-Feb-10 05-Feb-10 05-Feb-10 05-Feb-10 08-Feb-10 08-Feb-10 09-Feb-10 11-Feb-10 11-Feb-10 16-Feb-10 16-Feb-10 16-Feb-10 16-Feb-10 16-Feb-10 16-Feb-10 16-Feb-10 16-Feb-10 16-Feb-10 16-Feb-10 17-Feb-10 18-Feb-10 23-Feb-10 23-Feb-10 24-Feb-10 25-Feb-10 25-Feb-10 27-Feb-10 27-Feb-10 28-Feb-10 28-Feb-10 28-Feb-10 28-Feb-10
12 1/4% Sr Nts 13 6 7/8% Nts 12 7 3/8% Nts 11 6.42% Nts 14 7 1/2% Nts 17 8 1/4% Nts 11 6.6% Nts 16 FRNs 11 FRN Sr Sec Nts 11 8.875% Sr Nts 11 11 1/4% Sr Sub Disc Nts 15 9% Sr Sub Nts 14 7.875% Sr Nts 11 8.750% Sr Nts 32 7.875% Sr Nts 21 7.625% Sr Nts 19 7.500% Debs 31 8.125% Sr Nts 12 8.750% Sr Nts 20 7.750% Sr Nts 31 7.125% Sr Nts 11 7.700% Bds 27 9.875% Sr Nts 12 7.625% Sr Nts 11 5.250% Sr Nts 11 4.625% Sr Nts 10 7.125% Sr Unsub 11 8.250% Sr Nts 15 8.375% Sr Nts 17 7.500% Sr Nts11 7.500% Sr Nts14 10.250% Sr Sec Nts 15 10.000% Sr Nts 17 10.375% Sr Toggle Nts 17 5 1/8% Sr Nts 10
A74
High-yield tenders
Date Issuer Security 10% Guar Nts 14 11.500% Sr Sec Nts 14 Amount ($ mn) 66.7 28.1 6,682.9 40.8 54.4 24.7 322.3 200.0 268.8 123.5 108.2 22.5 175.0 400.0 338.2 621.5 338.2 21.4 366.5 185.2 96.6 21.0 41.5 32.2 11.0 8.6 2.0 5.0 8.5 12.5 7.0 6.0 101.5 15.5 26.5 12.0 8.0 25.3 5.2 5.9 89.4 4,152.3 91.7 169.2 202.6 50.0 38.8 31.2 26.5 41.8 200.0 129.8 28-Feb-10 Anixter Inc 28-Feb-10 Cellu Tissue Holdings February total 02-Mar-10 03-Mar-10 03-Mar-10 08-Mar-10 09-Mar-10 10-Mar-10 10-Mar-10 10-Mar-10 18-Mar-10 22-Mar-10 24-Mar-10 24-Mar-10 24-Mar-10 24-Mar-10 26-Mar-10 30-Mar-10 31-Mar-10 31-Mar-10 31-Mar-10 31-Mar-10 31-Mar-10 31-Mar-10 31-Mar-10 31-Mar-10 31-Mar-10 31-Mar-10 31-Mar-10 31-Mar-10 31-Mar-10 31-Mar-10 31-Mar-10 31-Mar-10 31-Mar-10 31-Mar-10 31-Mar-10 31-Mar-10 31-Mar-10 31-Mar-10 Advance Agro Public Developers Diversified Realty Developers Diversified Realty ISA Capital do Brazil Eastman Kodak Encore Acquisition Corp Encore Acquisition Corp Encore Acquisition Corp GenCorp ArvinMeritor Ceva Group Qwest Capital Funding Qwest Capital Funding Qwest Capital Funding Education Management LLC Time Warner Clear Channel Communicat Airgas AmeriCredit iStar Financial iStar Financial iStar Financial iStar Financial iStar Financial iStar Financial iStar Financial iStar Financial iStar Financial iStar Financial Istar Financial Inc Boyd Gaming Gaylord Entertainment Team Health Tenet Healthcare Allison Transmission Philippine Long Distance Telephone Philippine Long Distance Telephone Swift Transportation March total Anixter International Coal Group Suburban Propane Partners Reckson Operating Partnership Reckson Operating Partnership Encore Acquisition Corp Encore Acquisition Corp Encore Acquisition Corp Mohawk Industries Wienerberger AG
11.000% Sr Nts 12 5.250% Sr Nts 11 4.625% Sr Nts 10 8.800% Sr Sec Nts 17 7.250% Sr Nts 13 6.000% Sr Sub Nts 15 7.250% Sr Sub Nts 17 6.250% Sr Sub Nts 14 9.500% Sr Sub Nts13 8.750% Sr Nts 12 10% Nts 14 7.9% Guar Nts 10 7 1/4% Guar Nts 11 7.900% Sr Guar Nts 10 10 1/4% Guar Nts 16 9 1/4% Guar Nts 14 11% Sr Toggle Nts 16 7.125% Sr Sub Nts 18 8.5% Sr Nts 15 5.150% Sr Nts 12 10.000% Sr Sec Nts (2nd Lien) 14 5.950% Sr Nts 13 6.500% Sr Nts 13 5.650% Sr Nts11 5.125% Sr Nts11 5.800% Sr Nts11 5.500% Sr Nts12 8.625% Sr Nts 13 5.700% Sr Nts 14 6% Sr Nts 10 6.750% Sr Sub Nts14 6.750% Sr Nts 14 11.250% Sr Sub Nts 13 9.250% Sr Nts 15 11.250% Sr Toggle Nts15 8.350% Sr Nts17 8.350% Sr Nts 17 12.500% Sr Sec Nts 17
01-Apr-10 02-Apr-10 05-Apr-10 07-Apr-10 07-Apr-10 08-Apr-10 08-Apr-10 08-Apr-10 09-Apr-10 09-Apr-10
10.000% Sr Nts 14 10 1/4% Guar Nts 14 6.875% Sr Nts 13 5.875% Sr Nts 14 5.150% Sr Nts 11 6.0% Sr Sub Nts 15 7.25% Sr Sub Nts 17 6.25% Sr Sub Nts 14 5.750%/6.000% Sr Nts 11 3.875% Sr Nts 12
A75
High-yield tenders
Date 12-Apr-10 12-Apr-10 12-Apr-10 15-Apr-10 18-Apr-10 26-Apr-10 27-Apr-10 27-Apr-10 30-Apr-10 30-Apr-10 30-Apr-10 30-Apr-10 Issuer Sonic Automotive Bombardier Bombardier Prestige Brands O Charleys Ferrellgas AutoNation AutoNation Las Vegas Sands K. Hovnanian Enterprises K. Hovnanian Enterprises K. Hovnanian Enterprises April total Claires Stores Macys Retail Holdings Macys Retail Holdings Macys Retail Holdings Meritage Corporation Meritage Corporation Phillips Van-Heusen Phillips Van-Heusen Rexnord Rexnord Rexnord Lamar Media Freeport-McMoRan Copper & Gold Dollar General Telcordia Technologies Telcordia Technologies Cablevision Systems Charter Communications Charter Communications First American Capital Trust I Zions Bancorp Limited Brands Inc Limited Brands Inc Primus Telecomm Group Standard Pacific Corp Levi Strauss AK Steel Corp JC Penney Corporation In Lennar Lennar Lennar Omnicare Inc Liberty Media Lennar May total American Tire Distributors American Tire Distributors American Tire Distributors Allbritton Communication Security 8.625% Sr Sub Nts 13 6.75% Sr Nts 12 6.300% Sr Nts 14 9 1/4% Guar Nts 12 9.000% Sr Sub Nts13 8.750% Sr Nts 12 7.0% Sr Guar Nts 14 FRN Sr Nts 13 6.375% Sr Sec Nts 15 6.375% Sr Nts 14 6.250% Sr Nts15 7.750% Sr Sub Nts13 Amount ($ mn) 200.0 398.9 338.0 126.0 9.8 233.9 117.9 146.1 34.7 35.5 15.9 11.1 2,649.3 15.6 425.0 57.0 9.0 65.0 108.1 134.3 100.5 794.1 196.3 77.0 365.6 51.0 31.0 248.0 537.4 973.2 681.0 740.8 65.2 109.6 266.4 133.6 9.5 90.0 415.5 324.6 300.0 76.4 130.8 82.3 217.0 410.0 37.1 8,277.7 150.0 140.0 51.5 454.2
01-May-10 01-May-10 01-May-10 01-May-10 03-May-10 03-May-10 04-May-10 04-May-10 04-May-10 04-May-10 04-May-10 05-May-10 06-May-10 06-May-10 06-May-10 06-May-10 10-May-10 11-May-10 11-May-10 12-May-10 17-May-10 17-May-10 17-May-10 17-May-10 18-May-10 19-May-10 21-May-10 21-May-10 25-May-10 25-May-10 25-May-10 28-May-10 28-May-10 31-May-10
10.500% Sr Sub Nts 17 5.350% Sr Nts12 6.625% Sr Nts11 8.000% Sr Nts12 6 1/4% Nts 15 7% Nts 14 8 1/8% Nts 10 7 1/4% Nts 11 9.5% Nts 14 9 1/2% Nts 14 8 7/8% Nts 16 7 1/4% Sr Nts 13 8.250% Sr Nts 15 10.625% Sr Nts 15 10% Sr Sub Nts 13 FRNs 12 8% Nts 12 8.375% Sr Sec Nts (2nd) 14 8.75% Sr Nts 13 8.500% Trust Pfd Secs 12 5 1/2% Sub Nts 15 5 1/4% Nts 14 6 1/8% Nts 12 14.500% Sr Sec Nts13 7 3/4% Sr Nts 13 9 3/4% Nts 15 7 3/4% Sr Nts 12 6 3/8% Sr Nts 36 5 1/8% Sr Nts 10 5.95% Sr Nts 11 5.95% Sr Nts 13 6 3/4% Sr Sub Nts 13 5.7% Nts 13 5.125% Sr Nts 10
01-Jun-10 01-Jun-10 01-Jun-10 01-Jun-10
10.750% Sr Nts 13 FRNs 12 0/13% 13 7 3/4% Sr Sub Nts 12
A76
High-yield tenders
Date 09-Jun-10 10-Jun-10 14-Jun-10 15-Jun-10 16-Jun-10 18-Jun-10 18-Jun-10 21-Jun-10 21-Jun-10 21-Jun-10 21-Jun-10 21-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 Issuer Valassis Communications Titan International Perry Ellis International ArvinMeritor BWAY Domtar Domtar Weyerhaeuser Amkor Technologies Motorola Inc Motorola Inc Motorola Inc Belo Corporation Fisher Communications Airgas American Pacific Brunswick Corp Elizabeth Arden Steinway Musical Instruments Valassis Communications Allied Capital Corp Allied Capital Corp iStar Financial iStar Financial iStar Financial iStar Financial iStar Financial iStar Financial MBIA Alliance One International Boyd Gaming Las Vegas Sands MGM Mirage MGM Mirage Accellent Inc Invacare Corp D.R. Horton D.R. Horton D.R. Horton D.R. Horton D.R. Horton D.R. Horton D.R. Horton Masco Corp Ryland Group Hawk Freeport-McMoRan Copper & Gold Freeport-McMoRan Copper & Gold Domtar Verso Paper Holdings Verso Paper Holdings United Rentals United Rentals Freescale Semiconductor Security 8.250% Sr Nts15 8.000% Sr Nts12 8.875% Sr Sub Nts13 8.750% Sr Nts 12 10% Sr Sub Nts 14 5 3/8% Nts 13 7 1/8% Nts 15 6 3/4% Nts 12 9.250% Sr Nts 16 6 5/8% Nts 37 6 1/2% Nts 28 6 1/2% Nts 25 8.000% Sr Nts 16 8.625% Sr Nts 14 7.125% Sr Sub Nts 18 9.000% Sr Nts 15 9.750%/11.750% Sr Nts 13 7.750% Sr Sub Nts 14 7.000% Sr Nts 14 8.250% Sr Nts 15 6.625% Sr Nts 11 6.000% Sr Nts 12 5.150% Sr Nts 12 5.650% Sr Nts 11 5.800% Sr Nts 11 6.000% Sr Nts 10 5.125% Sr Nts 11 5.500% Sr Nts 12 9.375% Sr Nts 11 8.500% Sr Nts 12 6.750% Sr Sub Nts 14 6.375% Sr Sec Nts 15 8.375% Sr Sub Nts 11 8.500% Sr Guar Nts 10 10.500% Sr Sub Nts 13 9.750% Sr Nts 15 5.625% Bds 16 5.625% Sr Nts 14 6.000% Sr Nts 11 6.875% Sr Nts 13 6.125% Sr Nts 14 5.375% Sr Nts 12 7.875% Sr Nts 11 5.875% Sr Nts 12 5.375% Sr Nts 15 8.750% Sr Nts 14 8.250% Sr Nts 15 8.375% Sr Nts 17 7.875% Sr Nts 11 11.500% Sr Sec Nts (1st Lien) 14 9.125% Sr Sec Nts (2nd Lien) 14 7.750% Sr Sub Nts13 7.000% Sr Sub Nts14 8.875% Sr Nts14 Amount ($ mn) 270.0 47.4 46.0 17.0 228.5 238.3 187.2 551.0 125.7 221.2 74.8 63.1 4.9 17.4 25.0 5.0 27.8 5.0 5.8 28.3 5.0 5.0 43.1 64.1 33.0 48.7 23.8 22.2 17.0 23.6 17.5 25.6 75.0 136.0 10.0 29.0 65.7 87.9 125.0 25.2 51.2 34.1 31.6 59.0 19.0 20.0 34.0 193.0 5.0 19.8 12.9 16.5 16.0 29.0
A77
High-yield tenders
Date 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 Issuer Freescale Semiconductor Freescale Semiconductor Freescale Semiconductor Freescale Semiconductor Teekay Corporation Termoemcali Funding Corp June total Michael Foods Michael Foods Tyson Foods Tyson Foods Tyson Foods Leslie's Poolmart Sanmina DynCorp Kellwood Company Multiplan Inc Tenet Healthcare Forest City Enterprises D.R. Horton D.R. Horton K. Hovnanian Enterprises K. Hovnanian Enterprises Toll Brothers Toll Brothers William Lyon Homes Claires Stores Claires Stores July total Sappi Papier Holding Anixter QEP Resources Inc QEP Resources Inc QEP Resources Inc QEP Resources Inc Wynn Las Vegas SLM Corp SLM Corp STATS ChipPac Chesapeake Energy Chesapeake Energy Chesapeake Energy Petrohawk Energy Corp Wynn Las Vegas Tenet Healthcare Tenet Healthcare August total Security 9.875% Sr Toggle Nts14 8.875% Sr Nts 14 9.125% Sr Toggle Nts 14 FRN Sr Nts 14 8.875% Sr Nts 11 10.125% Sr Sec Nts 19 Amount ($ mn) 17.0 88.1 35.0 15.0 9.4 113.0 4,686.0 154.1 150.0 229.0 164.8 6.0 6.2 20.0 376.2 29.7 14.0 9.0 12.1 29.0 70.2 13.7 9.0 22.0 13.5 10.5 41.6 7.0 1,387.4 29.0 11.8 71.5 73.2 311.4 162.2 987.0 133.7 45.6 168.0 245.1 566.6 582.5 652.8 246.9 783.7 40.0 5,110.9 10.8 20.0 52.4
02-Jul-10 02-Jul-10 03-Jul-10 03-Jul-10 03-Jul-10 03-Jul-10 03-Jul-10 07-Jul-10 15-Jul-10 28-Jul-10 30-Jul-10 31-Jul-10 31-Jul-10 31-Jul-10 31-Jul-10 31-Jul-10 31-Jul-10 31-Jul-10 31-Jul-10 31-Jul-10 31-Jul-10
9.750% Sr Nts 13 8.000% Sr Sub Nts 13 8.250% Sr Nts 11 6.600% Sr Nts 16 7.000% Sr Nts 18 7.750% Sr Nts 13 6.750% Sr Sub Nts 13 9.500% Sr Sub Nts 13 7.625% Debs 17 10.375% Sr Sub Nts 16 9.250% Sr Nts 15 6.500% Sr Nts 17 6.500% Sr Nts 16 5.250% Sr Nts 15 6.250% Sr Nts 15 6.375% Sr Nts 14 4.950% Sr Nts 14 5.950% Sr Nts 13 10.75% Sr Nts 13 10.375% Sr Toggle Nts 15 10.500% Sr Sub Nts 17
05-Aug-10 06-Aug-10 11-Aug-10 11-Aug-10 11-Aug-10 11-Aug-10 18-Aug-10 27-Aug-10 27-Aug-10 27-Aug-10 30-Aug-10 30-Aug-10 30-Aug-10 30-Aug-10 30-Aug-10 30-Aug-10 30-Aug-10
7.500% Bds 32 10.000% Sr Nts 14 7 1/2% Sr Nts 11 6.05% Sr Nts 16 6.8% Sr Nts 18 6.8% Sr Nts 20 6.625% 1st Mtg Nts 14 5.400% Sr Nts 11 5.450% Sr Nts 11 6.750% Sr Guar Nts 11 7.000% Sr Nts 14 6.625% Sr Nts 16 6.250% Sr Nts 18 9.125% Sr Nts 13 6.625% 1st Mtg Nts 14 7.375% Sr Nts 13 9.875% Sr Nts 14
02-Sep-10 Da-Lite Screen 07-Sep-10 Limited Brands 08-Sep-10 Smithfield Foods

12.500% Sr Nts 15 5.250% Sr Nts 14 7.000% Sr Nts 11
A78
High-yield tenders
Date 08-Sep-10 09-Sep-10 22-Sep-10 22-Sep-10 22-Sep-10 23-Sep-10 23-Sep-10 23-Sep-10 23-Sep-10 24-Sep-10 24-Sep-10 24-Sep-10 28-Sep-10 29-Sep-10 30-Sep-10 30-Sep-10 30-Sep-10 30-Sep-10 30-Sep-10 30-Sep-10 30-Sep-10 30-Sep-10 30-Sep-10 30-Sep-10 30-Sep-10 30-Sep-10 30-Sep-10 30-Sep-10 30-Sep-10 30-Sep-10 30-Sep-10 30-Sep-10 30-Sep-10 30-Sep-10 Issuer Smithfield Foods Cardtronics Inc Visant Holding Corporation Visant Holding Corporation Visant Holding Corporation SLM Corp SLM Corp SLM Corp SLM Corp Delta Air Lines Delta Air Lines Northwest Airlines Associated Banc-Corp Stora Enso Oyj Ames True Temper QEP Resources SLM Corp SLM Corp SLM Corp SLM Corp SLM Corp SLM Corp Service Corporation International Service Corporation International Mobile Services Group Freescale Semiconductor Freescale Semiconductor Freescale Semiconductor Allied Capital Corp Allied Capital Corp MeadWestvaco Airgas D.R. Horton D.R. Horton September total Titan International Scientific Games MetroPCS Dennys PolyOne Huntsman International LLC FTI Consulting Intelsat PanAmSat Graphic Packaging Stoneridge Inc Sinclair Broadcast Zions Bancorporation Zions Bancorporation Zions Bancorporation Centex Corp Centex Corp Centex Corp Security 7.000% Sr Nts 11 9.250% Sr Sub Nts 13 7.625% Sr Sub Nts 12 10.25% Sr Disc Nts 13 8.75% Sr Nts 13 5.400% Sr Nts 11 5.450% Sr Nts 11 3.125% Sr Nts 12 4.875% Sr Nts 12 12.250% Sr Sec Nts (2nd Lien) 15 8.954% P-T Certs 14 8.028% P-T Certs 17 6.750% Sub Nts 11 7.375% Sr Nts 11 10.000% Sr Sub Nts 12 7.500% Sr Nts 11 5.000% Sr Nts 13 5.375% Sr Nts 14 FRN Sr Nts 14 5.125% Sr Nts 12 5.375% Sr Nts 13 5.050% Sr Nts 14 7.375% Sr Nts 14 7.875% Debs 13 9.750% Sr Nts 14 8.875% Sr Nts 14 9.125% Sr Toggle Nts 14 FRN Sr Toggle Nts 14 6.625% Sr Nts 11 6.000% Sr Nts 12 6.850% Sr Nts 12 7.125% Sr Sub Nts 18 6.000% Sr Nts 11 7.875% Sr Nts 11 Amount ($ mn) 71.3 98.2 434.7 241.5 349.8 117.3 156.4 68.0 15.0 518.5 72.7 5.1 30.0 47.6 40.6 20.0 48.7 57.2 30.5 11.5 23.5 6.3 64.3 23.1 7.1 382.9 280.8 121.4 14.3 29.4 98.0 5.0 9.4 6.7 3,590.0 138.9 107.6 313.1 125.3 257.0 158.7 185.8 546.3 125.0 209.7 109.9 175.7 103.7 54.3 50.0 25.5 31.3 104.8
01-Oct-10 05-Oct-10 05-Oct-10 06-Oct-10 08-Oct-10 08-Oct-10 12-Oct-10 14-Oct-10 14-Oct-10 14-Oct-10 18-Oct-10 18-Oct-10 18-Oct-10 18-Oct-10 18-Oct-10 20-Oct-10 20-Oct-10 20-Oct-10
8.000% Sr Nts 12 6.250% Sr Sub Nts 12 9.250% Sr Nts 14 10.000% Sr Nts 12 8.875% Sr Nts 12 7.875% Sr Sub Nts 14 7.625% Sr Nts 13 9.250% Sr Nts 14 6.875% Sr Sec Nts 28 9.500% Sr Sub Nts 13 11.500% Sr Nts 12 8.000% Sr Sub Nts 12 5.500% Sub Nts 15 6.000% Sub Nts 15 5.650% Sub Nts 14 5.250% Sr Nts 15 5.700% Sr Nts 14 5.125% Sr Nts 13
A79
High-yield tenders
Date 20-Oct-10 20-Oct-10 20-Oct-10 25-Oct-10 27-Oct-10 30-Oct-10 31-Oct-10 31-Oct-10 Issuer Pulte Home Pulte Home Pulte Home PHI Inc OAO Severstal Fisher Communications Texas Competitive Electric Holdings Texas Competitive Electric Holdings October total Davita Davita Invacare Corp Michaels Stores XM Satellite Radio Regency Energy Partners Accellent Inc M/I Schottenstein Homes Markwest Energy Partners Markwest Energy Partners Hanger Orthopedic Group Bombardier Hexion Momentive Performance Rural/Metro Boyd Gaming November total Total tendered debt
Security 5.250% Sr Nts 14 5.200% Sr Nts 15 6.250% Sr Nts 13 7.125% Sr Nts 13 9.750% Sec Nts 13 8.625% Sr Nts 14 10.250% Sr Nts 15 10.250% Sr Nts 15
Amount ($ mn) 128.1 47.8 162.5 189.5 706.4 2.9 436.1 69.8 4,565.8 730.8 557.6 146.0 736.3 489.1 271.2 230.8 158.6 144.0 206.9 172.4 150.2 482.3 684.9 24.8 92.1 5,278.1 47,894.2
01-Nov-10 01-Nov-10 01-Nov-10 04-Nov-10 09-Nov-10 10-Nov-10 10-Nov-10 10-Nov-10 16-Nov-10 16-Nov-10 17-Nov-10 19-Nov-10 19-Nov-10 19-Nov-10 23-Nov-10 24-Nov-10
7.250% Sr Sub Nts 15 6.625% Sr Nts 13 9.750% Sr Nts 15 10.000% Sr Nts 14 11.250% Sr Sec Nts 13 8.375% Sr Nts 13 10.500% Sr Sub Nts 13 6.875% Sr Nts 12 6.875% Sr Nts 14 6.875% Sr Nts 14 10.250% Sr Nts 14 8.000% Sr Nts 14 9.750% Sr Sec Nts (2nd Lien) 14 9.750% Sr Nts 14 0.000%/12.750% Sr Disc Nts 16 7.750% Sr Sub Nts 12
A80
JPMorgan US Dollar Global High-Yield Index profile

1Q10 4.72% 4.58% 7.01% 4.56% 5.86% 0.08% 0.11% -0.57% 0.20% -0.78% 6.34% 6.23% 7.79% 6.08% 8.05% 1.32% 1.39% 0.48% 1.33% 1.28% 12.92% 12.76% 15.24% 12.62% 14.94% 100.00% 92.53% 7.47% 86.62% 13.38% 644bp 648bp 603bp 648bp 623bp 7.91% 7.94% 7.66% 7.94% 7.77% 2Q10 Total Return 3Q10 4Q101 20101 STW 8.46% 8.46% 8.47% 8.48% 8.32% Market Weight As of November 30, 2010 Current YTW Yield Duration 4.01 yrs 3.98 yrs 4.36 yrs 3.98 yrs 4.17 yrs Average Rating B B Split BB B Split BB
J.P. Morgan Global HY Index J.P. Morgan HY Developed Mkt Index J.P. Morgan HY Emerging Mkt Index J.P. Morgan HY Domestic Index J.P. Morgan HY International Index
J.P. Morgan Global HY Index by industry Automotive Oems and Captive Finance Suppliers Broadcasting Out of Home Television Cable and Satellite Cable and DBS Satellites Chemicals Commodity Chemicals Specialty Chemicals Consumer Products Apparel and Textiles Diversified Consumer Products Diversified Media Book and Magazine Publishing Media Services Newspaper Publishing Energy Energy Service Exploration & Production Midstream Pipelines Propane Refining 8.95% 9.67% 8.47% 5.48% 3.23% 7.33% 4.47% 3.76% 5.73% 6.92% 9.69% 5.18% 4.02% 5.29% 3.63% 5.66% 5.46% 3.38% 11.28% 3.79% 3.89% 3.96% 4.94% 4.16% 2.95% 0.53% 0.35% -2.44% 2.00% 0.40% -1.50% 1.68% 0.04% -0.22% 0.49% 0.37% 1.70% -1.14% 1.04% 1.13% 1.01% 0.92% 1.09% 1.11% 0.40% -0.61% -1.70% -0.27% -0.59% -0.81% 0.69% -0.29% 5.75% 5.31% 5.98% 8.86% 8.61% 8.94% 7.57% 6.88% 8.92% 6.83% 6.23% 7.66% 4.96% 5.74% 4.71% 4.99% 1.87% 4.72% 8.57% 7.15% 6.35% 7.11% 8.89% 7.07% 6.24% 7.18% 0.03% -2.45% 1.14% 3.04% 0.70% 4.41% 1.01% 0.40% 2.17% 3.13% 3.38% 2.80% 1.38% 0.65% 1.65% 0.78% -1.35% 1.69% 1.37% 1.02% 2.59% 0.42% 0.93% -0.11% 1.12% 2.36% 15.65% 9.93% 18.59% 18.79% 11.21% 24.12% 13.56% 11.10% 18.23% 18.24% 22.52% 15.08% 11.84% 13.32% 11.42% 12.83% 7.13% 11.31% 22.96% 11.66% 11.42% 11.53% 14.65% 10.50% 11.37% 9.97% 3.00% 0.90% 2.10% 1.58% 0.55% 1.04% 4.20% 2.76% 1.44% 3.68% 2.17% 1.50% 2.19% 0.65% 1.55% 2.06% 0.60% 0.95% 0.51% 12.66% 2.52% 6.33% 1.50% 1.23% 0.44% 0.64% 565bp 422bp 613bp 745bp 755bp 740bp 641bp 555bp 821bp 534bp 508bp 569bp 635bp 552bp 669bp 800bp 1035bp 678bp 766bp 609bp 749bp 605bp 597bp 302bp 499bp 793bp
6.89% 5.16% 7.48% 8.84% 8.99% 8.76% 7.59% 6.79% 9.27% 6.80% 6.51% 7.20% 7.73% 7.31% 7.90% 9.15% 11.46% 7.82% 9.07% 7.69% 8.95% 7.70% 7.60% 4.91% 6.48% 9.01%
7.96% 6.64% 8.40% 9.21% 9.23% 9.20% 9.06% 8.34% 10.56% 8.07% 8.05% 8.11% 8.57% 7.65% 8.95% 9.48% 10.93% 8.59% 9.57% 8.06% 8.98% 8.04% 8.03% 6.22% 7.27% 8.79%
3.46 yrs 2.97 yrs 3.63 yrs 3.78 yrs 3.72 yrs 3.81 yrs 3.36 yrs 3.46 yrs 3.16 yrs 4.00 yrs 3.99 yrs 4.02 yrs 3.77 yrs 4.84 yrs 3.32 yrs 3.16 yrs 3.04 yrs 2.93 yrs 3.78 yrs 4.34 yrs 3.84 yrs 4.46 yrs 4.38 yrs 5.44 yrs 4.13 yrs 3.09 yrs
B B B Split B B Split B B Split BB Split B B Split BB B B B B B Split B B B Split BB B Split BB Split BB Split BBB Split BB Split BB
1. Through November 30, 2010 Source: J.P. Morgan.
A81

1Q10 9.84% 8.27% 11.23% 11.17% 13.51% 4.61% 4.65% 3.92% 5.63% 4.77% 4.74% 5.36% 3.79% 2.71% 2.49% 2.85% 5.11% 4.89% 5.30% 4.82% 5.38% 4.49% 4.79% 3.05% 5.13% 4.41% 6.55% 4.00% 2.98% 4.51% -0.18% 0.38% 2.36% -1.84% 0.69% 0.41% 0.69% 0.26% -0.16% 1.48% 2.17% -0.18% 1.04% 1.88% 2.69% 1.46% -0.85% -0.35% -1.30% 0.67% 0.44% 0.79% 0.23% 0.64% -0.29% 0.81% -0.55% -0.67% 0.04% -1.06% 8.12% 8.74% 7.96% 7.96% 4.38% 5.81% 6.35% 6.30% 3.55% 4.84% 4.34% 6.25% 4.86% 5.46% 5.07% 5.66% 6.12% 4.95% 7.31% 5.91% 4.88% 6.49% 5.98% 6.49% 5.71% 5.04% 6.29% 4.38% 4.49% 4.35% 0.53% -0.13% 1.32% 1.06% 1.60% 1.40% 0.09% 1.49% 3.89% 2.27% 2.54% 2.30% 1.01% 0.84% 0.45% 1.05% 1.81% 1.67% 1.94% 2.05% 1.70% 2.23% 1.64% 1.34% 0.76% 4.51% 0.30% 2.73% 2.78% 2.70% 19.18% 18.03% 24.55% 19.05% 21.22% 12.71% 12.16% 12.41% 13.46% 13.99% 14.49% 14.32% 11.08% 11.29% 11.07% 11.41% 12.59% 11.53% 13.70% 14.05% 12.89% 14.65% 13.12% 11.92% 11.65% 15.55% 12.96% 10.76% 10.64% 10.81% 9.36% 4.51% 0.57% 3.51% 0.77% 3.80% 1.70% 1.09% 1.00% 4.98% 3.08% 1.23% 0.68% 7.35% 2.64% 4.70% 4.58% 2.34% 2.24% 5.10% 1.73% 3.37% 4.30% 1.58% 0.78% 0.59% 1.35% 5.33% 1.92% 3.42% 627bp 554bp 676bp 723bp 583bp 638bp 549bp 612bp 815bp 741bp 847bp 647bp 437bp 602bp 599bp 604bp 699bp 592bp 812bp 598bp 631bp 581bp 569bp 553bp 643bp 567bp 546bp 655bp 611bp 679bp 8.10% 7.63% 8.52% 8.83% 7.23% 7.81% 7.12% 7.40% 9.42% 8.73% 9.87% 7.77% 5.37% 7.33% 7.47% 7.25% 8.46% 7.43% 9.53% 7.29% 7.57% 7.14% 7.01% 6.89% 7.27% 7.24% 6.90% 8.12% 7.70% 8.34% 2Q10 Total Return 3Q10 4Q101 20101 STW 7.89% 7.58% 8.28% 8.35% 7.29% 8.66% 8.48% 7.94% 9.75% 9.03% 9.57% 8.87% 6.87% 8.30% 8.03% 8.45% 8.78% 8.14% 9.46% 8.22% 8.15% 8.25% 7.99% 7.91% 8.73% 7.62% 7.83% 8.29% 8.11% 8.39% Market Weight As of November 30, 2010 Current YTW Yield Duration 4.94 yrs 5.71 yrs 4.76 yrs 4.20 yrs 3.98 yrs 3.87 yrs 4.34 yrs 3.57 yrs 3.39 yrs 3.49 yrs 3.61 yrs 3.43 yrs 3.10 yrs 3.62 yrs 4.11 yrs 3.34 yrs 3.97 yrs 4.15 yrs 3.79 yrs 3.60 yrs 3.52 yrs 3.64 yrs 3.65 yrs 3.74 yrs 2.41 yrs 4.25 yrs 3.99 yrs 4.32 yrs 4.33 yrs 4.31 yrs Average Rating Split BB B B Split BB Split BB B Split BB Split BB B B B B BB B Split BB B Split BB Split BB B B Split BB B Split BB Split BB B Split BB Split BB Split BB B Split BB
Financial Banks Insurance Other Financial Reits Food and Beverages Food Producers Packaged Food and Beverages Restaurants Gaming Lodging and Leisure Gaming Leisure and Entertainment Lodging Healthcare Device and Pharma Manufacturers Healthcare Services Housing Building Materials Homebuilders Industrials Aerospace and Defense General Industrials Metals and Mining Coal Metals Mining Steel Paper and Packaging Packaging Paper and Forest Products
A82

1Q10 3.28% 4.95% 2.68% 2.54% 3.91% 4.76% 3.81% 2.80% 3.81% 3.05% 4.31% 7.20% 1.31% 3.47% 3.29% 3.21% 3.84% 7.54% 5.48% 10.04% 6.27% -0.65% -2.05% 3.09% 4.72% 0.56% 1.73% 0.29% -0.19% -0.19% 0.34% -0.40% -0.27% -2.88% 0.20% 0.49% -2.74% -5.95% -0.33% 0.27% 0.54% -1.52% -0.01% 2.27% -2.08% 1.28% 1.26% 0.50% 2.80% 0.08% 4.86% 5.12% 4.85% 4.60% 5.28% 5.04% 5.21% 5.81% 8.19% 5.70% 5.10% 10.91% 9.44% 7.50% 6.03% 8.07% 7.09% 8.69% 6.17% 11.33% 7.46% 3.65% 2.68% 6.04% 6.34% 0.59% -0.29% 0.96% 0.81% 1.64% 2.71% 1.25% 1.48% 2.70% 1.10% 3.00% 1.91% 3.26% -0.07% 1.07% -1.05% 1.02% 1.58% 3.00% 0.43% 1.63% 0.09% 0.26% -0.33% 1.32% 9.55% 11.92% 9.02% 7.93% 10.97% 13.41% 10.14% 10.07% 12.02% 10.34% 13.48% 17.86% 7.68% 10.79% 11.00% 10.96% 10.62% 18.72% 17.97% 20.48% 17.53% 4.37% 1.35% 12.00% 12.92% 3.98% 1.04% 2.05% 0.89% 4.10% 0.97% 2.55% 0.57% 4.72% 0.30% 1.38% 1.18% 1.86% 6.45% 0.60% 3.38% 2.47% 2.31% 0.81% 1.13% 0.37% 4.25% 3.06% 1.19% 100.00% 600bp 452bp 622bp 724bp 756bp 850bp 707bp 817bp 768bp 520bp 590bp 617bp 1023bp 623bp 365bp 650bp 649bp 621bp 546bp 631bp 759bp 698bp 816bp 395bp 644bp 7.47% 6.10% 7.60% 8.77% 8.76% 9.76% 8.21% 9.53% 9.00% 6.54% 7.37% 7.54% 11.42% 7.76% 4.89% 8.14% 7.93% 7.83% 6.72% 8.30% 8.81% 8.99% 10.05% 6.27% 7.91% 2Q10 Total Return 3Q10 4Q101 20101 STW 8.37% 7.92% 8.40% 8.81% 9.16% 9.84% 8.84% 9.44% 9.24% 6.96% 8.50% 8.38% 10.65% 8.53% 6.60% 8.72% 8.74% 8.46% 8.23% 8.24% 9.67% 8.65% 9.25% 7.10% 8.46% Market Weight As of November 30, 2010 Current YTW Yield Duration 3.90 yrs 3.98 yrs 3.82 yrs 4.00 yrs 3.26 yrs 3.32 yrs 3.16 yrs 3.62 yrs 3.65 yrs 3.82 yrs 4.13 yrs 3.71 yrs 3.26 yrs 4.13 yrs 3.72 yrs 4.45 yrs 3.79 yrs 4.42 yrs 3.51 yrs 5.43 yrs 3.35 yrs 5.26 yrs 4.77 yrs 6.51 yrs 4.01 yrs Average Rating B Split BB B B B Split B B Split B B Split BB Split BB B Split B Split BB BB B B Split BB BB Split BB B Split BB B BB B
Retail Department and Discount Stores Specialty Retail Supermarkets and Drug Stores Services Business Solutions Diversified Services Rental Technology EMS Equipment and Hardware Semiconductors Services and Software Telecommunications Towers Wireless Wireline Transportation Airlines Shipping Trucking/Rail Utility Independent Power Producers Integrated Utilities J.P. Morgan Global HY Index
A83

1Q10 3.82% 4.07% 3.66% 3.56% 3.94% 6.91% 7.15% 0.97% 0.79% 0.80% 0.00% -1.30% -0.96% 1.94% 6.16% 6.95% 6.19% 6.52% 5.74% 6.50% 5.28% 0.73% 0.56% 0.83% 1.42% 1.91% 2.64% 1.74% 12.08% 12.82% 11.89% 11.89% 10.54% 15.74% 17.00% 9.39% 21.50% 14.79% 31.16% 9.55% 11.47% 0.76% 383bp 472bp 548bp 655bp 823bp 1088bp 841bp 5.79% 6.36% 6.82% 7.98% 9.48% 12.14% 9.79% 2Q10 Total Return 3Q10 4Q101 20101 STW 6.70% 7.32% 7.90% 8.75% 9.52% 10.87% 10.03% Market Weight As of November 30, 2010 Current YTW Yield Duration 5.48 yrs 4.48 yrs 3.72 yrs 3.83 yrs 3.37 yrs 3.34 yrs 3.61 yrs Average Rating Split BBB BB Split BB B Split B CCC/Split CCC Not Rated
J.P. Morgan Global HY Index by rating Split BBB BB Split BB B Split B CCC/Split CCC Not Rated
J.P. Morgan Global HY Index by rating tier Upper Tier (Split BBB, BB) 3.98% Middle Tier (Split BB, B, Split B) 3.67% Lower Tier (CCC, Default) 8.83% 0.86% -0.01% -1.36% 6.69% 6.30% 5.85% 0.61% 1.36% 2.84% 12.58% 11.67% 16.85% 30.89% 55.51% 12.84%
J.P. Morgan Global HY Index by security type Cash Pay 4.44% Deferred 3.15% Default 17.91% 0.25% -2.25% -5.22% 6.36% 8.31% 2.71% 1.22% 3.79% 4.26% 12.71% 13.35% 19.67%
J.P. Morgan Global HY Index by size $0 mn to $100 mn $101 mn to $299 mn $300 mn and over 6.39% 5.46% 4.53% 3.33% 1.17% -0.19% 5.10% 4.85% 6.68% 2.25% 2.25% 1.13% 18.15% 14.37% 12.56%
J.P. Morgan Global HY Index by seniority Senior Secured Senior Senior Subordinate Junior Subordinate 4.53% 4.77% 4.32% 6.72% -0.40% 0.15% 0.38% 2.08% 6.28% 6.51% 5.42% 6.89% 2.14% 1.01% 1.38% 0.13%
K
445bp 655bp 1105bp 6.19% 7.93% 12.30% 7.13% 8.65% 10.94% 4.78 yrs 3.72 yrs 3.33 yrs BB B CCC/Split CCC 96.75% 2.09% 1.15% 636bp 1035bp na 7.84% 11.36% na 8.40% 11.07% na 4.02 yrs 3.34 yrs na Split BB Split B 0.46% 16.86% 82.69% 787bp 732bp 626bp 9.11% 8.54% 7.78% 9.05% 8.99% 8.35% 3.46 yrs 3.37 yrs 4.14 yrs Split BB B Split BB 13.02% 12.89% 11.92% 16.60% 24.75% 64.70% 9.14% 1.35% 749bp 591bp 731bp 667bp 8.87% 7.46% 8.37% 8.92% 9.39% 8.05% 8.71% 9.20% 3.67 yrs 4.23 yrs 2.95 yrs 6.28 yrs B Split BB B Split BB
A84

1Q10 2.76% 5.01% 5.13% 4.14% 4.80% 4.18% 3.35% 0.45% 0.48% -0.25% 0.03% -0.53% 1.13% 3.05% 3.06% 5.37% 6.89% 7.32% 7.78% 7.66% 8.92% 0.67% 1.63% 1.50% 2.21% 1.39% 0.42% 0.22% 7.08% 13.00% 13.77% 14.27% 13.92% 13.91% 16.26% 14.04% 16.58% 20.60% 21.70% 13.75% 6.47% 3.88% 683bp 728bp 751bp 645bp 525bp 469bp 425bp 7.16% 8.07% 8.80% 8.14% 7.33% 7.32% 7.28% 2Q10 Total Return 3Q10 4Q101 20101 STW 8.69% 9.05% 9.19% 8.31% 7.57% 7.53% 7.22% Market Weight As of November 30, 2010 Current YTW Yield Duration 1.18 yrs 2.51 yrs 3.54 yrs 4.46 yrs 5.42 yrs 6.52 yrs 8.03 yrs Average Rating B B B B Split BB Split BB BB
J.P. Morgan Global HY Index by duration <2 yrs 2 - 3 yrs 3 - 4 yrs 4 - 5 yrs 5 - 6 yrs 6 - 7 yrs 7 - 10 yrs
J.P. Morgan Global HY Index by 8-month price volatility Less than 1.50 3.60% 0.36% 1.50 to 4.99 3.80% -0.44% 5.00 to 9.99 6.60% -2.06% 10.00 to 14.99 8.10% 1.07% 15.00 to 19.99 9.83% 6.51% 20.00 and over 13.11% -1.53% 6.03% 7.26% 6.52% 13.34% 5.29% 0.00% 1.44% 1.19% 2.05% 12.79% 3.57% 0.00% 11.83% 12.16% 13.48% 39.66% 27.56% 0.00% 49.93% 44.26% 5.51% 0.23% 0.08% 0.00%
598bp 649bp 959bp 2508bp 0bp 0bp
7.30% 8.10% 11.40% 26.08% 0.00% 0.00%
8.29% 8.45% 9.80% 16.06% 0.00% 0.00%
3.62 yrs 4.35 yrs 4.85 yrs 2.36 yrs 0.00 yrs 0.00 yrs
Split BB B B CCC/Split CCC Default Default
A85
JPMorgan Developed High-Yield Index profile

1Q10 8.95% 5.75% 4.45% 7.10% 4.07% 5.66% 3.68% 9.55% 4.41% 4.75% 2.71% 4.86% 4.82% 3.75% 3.95% 3.28% 3.91% 3.69% -1.02% 3.16% 5.92% 4.58% 0.35% 0.51% 0.02% 0.25% 0.98% 0.92% -0.69% -0.24% 0.44% 1.40% 1.88% -0.48% 0.67% 0.51% -0.93% 0.56% -0.19% -3.00% 1.25% -0.07% 1.30% 0.11% 5.75% 8.84% 7.62% 6.95% 5.07% 4.99% 7.18% 8.20% 5.18% 4.80% 5.46% 4.64% 5.91% 5.99% 3.95% 4.86% 5.28% 8.22% 3.53% 7.66% 7.00% 6.23% 0.03% 3.04% 0.97% 3.09% 1.40% 0.78% 1.00% 0.53% 1.86% 2.30% 0.84% 2.08% 2.05% 2.74% 2.79% 0.59% 1.64% 2.86% 0.09% -0.01% 2.19% 1.39% 15.65% 19.20% 13.52% 18.38% 11.95% 12.83% 11.45% 18.87% 12.36% 13.88% 11.29% 11.47% 14.05% 13.54% 10.04% 9.55% 10.97% 11.97% 3.84% 10.97% 17.32% 12.76% 3.24% 1.71% 4.34% 3.63% 2.33% 2.23% 13.36% 10.03% 3.22% 5.25% 7.94% 3.54% 5.51% 3.03% 4.98% 4.30% 4.43% 4.80% 5.76% 1.91% 4.45% 100.00% 565 bp 745 bp 640 bp 543 bp 638 bp 800 bp 608 bp 626 bp 661 bp 741 bp 602 bp 672 bp 598 bp 577 bp 678 bp 600 bp 756 bp 781 bp 627 bp 642 bp 702 bp 648 bp 6.89% 8.84% 7.59% 6.81% 7.77% 9.15% 7.67% 8.09% 7.96% 8.73% 7.33% 8.17% 7.29% 6.96% 8.33% 7.47% 8.76% 9.13% 7.83% 7.71% 9.06% 7.94% 2Q10 Total Return 3Q10 4Q101 20101 STW 7.96% 9.21% 9.03% 8.14% 8.57% 9.48% 8.05% 7.88% 8.73% 9.02% 8.30% 8.37% 8.22% 7.94% 8.39% 8.37% 9.16% 9.32% 8.53% 8.77% 8.63% 8.46% Market Weight As of November 30, 2010 Current YTW Yield Duration 3.46 yrs 3.78 yrs 3.36 yrs 3.82 yrs 3.81 yrs 3.16 yrs 4.34 yrs 4.94 yrs 3.68 yrs 3.51 yrs 3.62 yrs 4.02 yrs 3.60 yrs 3.34 yrs 4.29 yrs 3.90 yrs 3.26 yrs 3.65 yrs 4.20 yrs 3.52 yrs 5.33 yrs 3.98 yrs Average Rating B Split B B B B B Split BB Split BB B B B Split BB B Split BB Split BB B B B B Split BB Split BB B
Industry Automotive Broadcasting Cable and Satellite Chemicals Consumer Products Diversified Media Energy Financial Food and Beverages Gaming Lodging and Leisure Healthcare Housing Industrials Metals and Mining Paper and Packaging Retail Services Technology Telecommunications Transportation Utility J.P. Morgan Developed HY Index
L
3.75% 3.58% 3.46% 3.44% 3.94% 6.81% 7.15% 0.95% 1.04% 0.97% 0.05% -1.30% -0.92% 2.32% 6.16% 6.67% 6.05% 6.49% 5.74% 6.49% 4.46% 0.75% 0.68% 0.84% 1.47% 1.92% 2.63% 1.51% 12.02% 12.39% 11.71% 11.84% 10.55% 15.66% 16.25% 9.79% 19.09% 14.92% 31.68% 10.29% 12.18% 0.67% 383 bp 464 bp 540 bp 652 bp 822 bp 1088 bp 863 bp 5.81% 6.23% 6.74% 7.95% 9.47% 12.14% 9.73% 6.68% 7.19% 7.80% 8.72% 9.51% 10.90% 10.09% 5.51 yrs 4.39 yrs 3.72 yrs 3.85 yrs 3.36 yrs 3.34 yrs 3.04 yrs Split BBB BB Split BB B Split B CCC/Split CCC Not Rated
Rating Split BBB BB Split BB B Split B CCC/Split CCC Not Rated
A86
JPMorgan Developed High-Yield Index profile

1Q10 3.63% 3.56% 8.69% 1.02% 0.05% -1.45% 6.48% 6.23% 5.82% 0.70% 1.39% 2.84% 12.26% 11.59% 16.56% 28.88% 56.89% 13.56% 437 bp 653 bp 1102 bp 6.09% 7.91% 12.27% 2Q10 Total Return 3Q10 4Q101 20101 STW 7.02% 8.62% 10.96% Market Weight As of November 30, 2010 Current YTW Yield Duration 4.77 yrs 3.73 yrs 3.33 yrs Average Rating BB B CCC/Split CCC
Rating Tier Upper Tier (Split BBB, BB) Middle Tier (Split BB, B, Split B) Lower Tier (CCC, Default)
Security Type Cash Pay Deferred Default 4.26% 3.15% 18.93% 0.30% -2.25% -5.59% 6.24% 8.31% 2.22% 1.28% 3.79% 4.31% 12.53% 13.35% 19.71% 96.58% 2.26% 1.16% 639 bp 1035 bp
7.86% 11.36%
8.40% 11.07%
3.99 yrs 3.34 yrs
Split BB Split B
Size $0mn to $100mn $101mn to $299mn $300mn and Over 6.34% 5.51% 4.35% 3.47% 1.27% -0.17% 5.07% 4.83% 6.55% 2.29% 2.28% 1.20% 18.27% 14.56% 12.33% 0.44% 17.23% 82.33%
823 bp 734 bp 628 bp
9.37% 8.57% 7.79%
9.19% 8.98% 8.34%
3.21 yrs 3.37 yrs 4.11 yrs
B B Split BB
Seniority Senior Secured Senior Senior Subordinate Junior Subordinate 4.48% 4.57% 4.32% 6.72% -0.29% 0.16% 0.38% 2.08% 6.19% 6.36% 5.46% 6.89% 2.21% 1.08% 1.40% 0.13% 13.07% 12.62% 11.99% 16.60%
25.13% 63.54% 9.81% 1.46%
754 bp 593 bp 728 bp 667 bp
8.90% 7.47% 8.34% 8.92%
9.41% 8.03% 8.68% 9.20%
3.65 yrs 4.21 yrs 2.96 yrs 6.28 yrs
B Split BB B Split BB
Duration <2 yrs 2 - 3 yrs 3 - 4 yrs 4 - 5 yrs 5 - 6 yrs 6 - 7 yrs 7 - 10 yrs 2.69% 4.83% 5.02% 4.04% 4.45% 4.14% 3.56% 0.42% 0.45% -0.14% 0.09% -0.47% 1.19% 2.69% 3.02% 5.37% 6.81% 7.23% 7.71% 7.68% 8.98% 0.66% 1.74% 1.63% 2.36% 1.34% 0.49% 0.16% 6.93% 12.89% 13.84% 14.30% 13.48% 14.03% 16.08%
14.68% 16.53% 20.21% 22.34% 13.29% 5.97% 4.10%
683 bp 738 bp 756 bp 645 bp 525 bp 465 bp 425 bp
7.16% 8.18% 8.86% 8.13% 7.33% 7.27% 7.28%
8.69% 9.06% 9.19% 8.31% 7.56% 7.47% 7.21%
1.18 yrs 2.51 yrs 3.54 yrs 4.46 yrs 5.42 yrs 6.53 yrs 8.05 yrs
B B B B Split BB Split BB BB
A87
M
Peter D. Acciavatti (1-212) 270-9633 Tony Linares (1-212) 270-3285 Nelson R. Jantzen (1-212) 270-1169 Alisa Meyers (1-212) 834-9151
JPMorgan Domestic High-Yield Index profile

1Q10 8.95% 5.75% 4.56% 6.49% 4.07% 6.05% 3.81% 9.94% 4.40% 4.62% 2.57% 4.89% 4.78% 3.56% 3.91% 3.28% 3.78% 3.21% 3.13% 5.80% -1.12% 4.56% 0.35% 0.51% 0.17% 0.29% 0.98% 1.05% -0.56% -0.32% 0.50% 1.47% 2.00% -0.42% 0.63% 0.71% -1.16% 0.56% -0.19% -2.58% 0.24% 1.44% 1.38% 0.20% 5.75% 8.84% 7.69% 6.82% 5.07% 4.98% 7.23% 7.93% 5.12% 4.74% 5.51% 4.64% 5.94% 5.70% 3.79% 4.86% 5.27% 7.33% 7.49% 6.68% 3.29% 6.08% 0.03% 3.04% 0.97% 3.20% 1.40% 0.70% 0.95% 0.70% 1.84% 2.26% 0.87% 2.07% 2.08% 1.53% 2.68% 0.59% 1.56% 2.48% -0.18% 2.18% 0.12% 1.33% 15.65% 19.20% 13.89% 17.73% 11.95% 13.29% 11.74% 19.11% 12.33% 13.70% 11.34% 11.56% 14.03% 11.94% 9.44% 9.55% 10.74% 10.59% 10.91% 16.99% 3.66% 12.62% 3.46% 1.83% 3.86% 3.57% 2.49% 2.03% 13.67% 10.14% 3.41% 5.42% 8.11% 3.53% 5.72% 2.82% 4.82% 4.60% 4.58% 4.57% 5.09% 1.74% 4.54% 100.00% 565 bp 745 bp 666 bp 526 bp 638 bp 825 bp 602 bp 608 bp 660 bp 741 bp 602 bp 691 bp 597 bp 574 bp 696 bp 600 bp 754 bp 800 bp 623 bp 645 bp 704 bp 648 bp 6.89% 8.84% 7.87% 6.64% 7.77% 9.43% 7.62% 7.94% 7.94% 8.74% 7.33% 8.39% 7.27% 6.94% 8.46% 7.47% 8.73% 9.22% 7.85% 7.69% 9.11% 7.94% 2Q10 Total Return 3Q10 4Q101 20101 STW 7.96% 9.21% 9.28% 8.10% 8.57% 9.81% 8.04% 7.96% 8.72% 9.00% 8.30% 8.57% 8.18% 8.04% 8.50% 8.37% 9.10% 9.40% 8.42% 8.92% 8.63% 8.48% Market Weight As of November 30. 2010 Current YTW Yield Duration 3.46 yrs 3.78 yrs 3.42 yrs 3.80 yrs 3.81 yrs 3.26 yrs 4.36 yrs 4.99 yrs 3.66 yrs 3.51 yrs 3.61 yrs 4.07 yrs 3.60 yrs 3.35 yrs 4.14 yrs 3.90 yrs 3.25 yrs 3.35 yrs 4.38 yrs 3.39 yrs 5.41 yrs 3.98 yrs Average Rating B Split B B B B B Split BB Split BB B B B B B Split BB Split BB B B B Split BB Split BB Split BB B
Industry Automotive Broadcasting Cable and Satellite Chemicals Consumer Products Diversified Media Energy Financial Food and Beverages Gaming Lodging and Leisure Healthcare Housing Industrials Metals and Mining Paper and Packaging Retail Services Technology Telecommunications Transportation Utility J.P. Morgan Domestic HY Index
Rating Split BBB BB Split BB B Split B CCC/Split CCC Not Rated 4.02% 3.54% 3.40% 3.44% 3.92% 6.54% 7.28% 0.92% 1.12% 1.07% 0.23% -1.33% -0.79% 2.42% 6.04% 6.59% 6.07% 6.35% 5.77% 5.90% 4.51% 0.85% 0.56% 0.84% 1.26% 1.91% 2.77% 1.18%
12.26% 12.22% 11.79% 11.66% 10.52% 15.04% 16.19%
10.10% 18.42% 15.17% 31.61% 10.54% 12.09% 0.65%
376 bp 461 bp 539 bp 649 bp 829 bp 1097 bp 885 bp
5.77% 6.20% 6.75% 7.91% 9.55% 12.22% 9.89%
6.73% 7.20% 7.76% 8.72% 9.58% 11.01% 10.29%
Split BBB BB Split BB B Split B CCC/Split CCC Not Rated
A88
JPMorgan Domestic High-Yield Index profile

1Q10 3.72% 3.54% 8.48% 1.05% 0.15% -1.37% 6.39% 6.16% 5.29% 0.67% 1.28% 2.96% 12.25% 11.50% 15.99% 28.52% 57.32% 13.52% 431 bp 653 bp 1112 bp 6.05% 7.90% 12.36% 2Q10 Total Return 3Q10 4Q101 20101 STW 7.03% 8.62% 11.08% Market Weight As of November 30. 2010 Current YTW Yield Duration 4.82 yrs 3.73 yrs 3.28 yrs Average Rating BB B CCC/Split CCC
Security Type Cash Pay Deferred Default 4.23% 3.11% 18.68% 0.40% -2.40% -5.63% 6.09% 8.57% 2.39% 1.22% 4.03% 4.21% 12.37% 13.65% 19.51% 96.57% 2.24% 1.19% 638 bp 1057 bp
7.85% 11.63%
8.41% 11.33%
3.99 yrs 3.56 yrs
Split BB Split B
Size $0mn to $100mn $101mn to $299mn $300mn and Over 6.34% 5.51% 4.31% 3.47% 1.26% -0.08% 5.07% 4.83% 6.39% 2.29% 2.28% 1.12% 18.27% 14.55% 12.13% 0.47% 17.92% 81.61%
823 bp 733 bp 628 bp
9.37% 8.55% 7.79%
9.19% 8.97% 8.37%
3.21 yrs 3.36 yrs 4.12 yrs
B B Split BB
Seniority Senior Secured Senior Senior Subordinate Junior Subordinate 4.39% 4.55% 4.50% 7.50% -0.05% 0.21% 0.35% 2.30% 5.95% 6.29% 5.08% 7.09% 2.11% 1.03% 1.49% 0.05% 12.86% 12.51% 11.84% 17.84%
24.21% 64.33% 10.01% 1.39%
762 bp 590 bp 740 bp 655 bp
8.99% 7.44% 8.42% 9.06%
9.47% 8.04% 8.79% 9.38%
3.64 yrs 4.21 yrs 2.86 yrs 7.00 yrs
B Split BB B Split BB
Duration <2 yrs 2 - 3 yrs 3 - 4 yrs 4 - 5 yrs 5 - 6 yrs 6 - 7 yrs 7 - 10 yrs 2.63% 4.85% 4.85% 4.02% 4.49% 4.33% 3.34% 0.45% 0.48% -0.05% 0.36% -0.56% 1.07% 3.25% 2.92% 5.35% 6.47% 7.28% 7.63% 7.68% 8.04% 0.71% 1.86% 1.56% 2.21% 1.35% 0.50% -0.63% 6.86% 13.05% 13.31% 14.47% 13.34% 14.11% 14.56%
14.83% 16.76% 19.41% 22.09% 13.65% 6.38% 3.90%
669 bp 745 bp 765 bp 650 bp 525 bp 465 bp 413 bp
7.02% 8.24% 8.95% 8.19% 7.33% 7.27% 7.12%
8.71% 9.13% 9.25% 8.35% 7.57% 7.47% 7.08%
B B B B Split BB Split BB BB
A89
JPMorgan Developed BB High-Yield Index profile

1Q10 7.85% 3.35% 3.39% 5.37% 2.20% 3.37% 3.07% 6.03% 4.57% 3.20% 1.79% 4.13% 3.65% 3.30% 3.15% 3.51% 2.82% 3.82% 2.84% 5.31% 2.46% 3.52% 2.09% 0.84% 0.09% 2.12% 0.89% 1.19% 0.06% -0.06% 1.15% 1.39% 2.98% -0.92% 0.73% 1.18% 1.13% 0.76% 1.37% 0.97% 0.62% 1.55% 2.07% 0.94% 5.81% 6.79% 5.76% 6.79% 4.30% 4.82% 8.16% 7.95% 5.38% 5.28% 5.75% 4.86% 6.69% 5.33% 4.69% 5.39% 5.49% 5.73% 7.88% 7.11% 5.65% 6.33% 0.04% 1.73% 0.41% 0.90% 0.94% 0.84% 0.47% 1.03% 1.19% 1.18% 0.79% 1.52% 1.29% 0.85% 1.49% 0.02% 1.25% 0.85% -0.67% 1.94% -0.23% 0.72% 16.55% 13.23% 9.88% 15.95% 8.55% 10.56% 12.07% 15.57% 12.79% 11.47% 11.74% 9.83% 12.82% 11.03% 10.83% 9.94% 11.33% 11.77% 10.88% 16.77% 10.23% 11.91% 2.92% 0.37% 3.99% 2.97% 1.94% 1.44% 16.48% 10.20% 1.98% 4.58% 7.68% 3.46% 6.04% 3.87% 6.79% 4.59% 2.89% 3.16% 6.62% 2.45% 5.58% 100.00% 422 bp 546 bp 490 bp 436 bp 539 bp 596 bp 438 bp 521 bp 364 bp 522 bp 457 bp 384 bp 481 bp 475 bp 427 bp 465 bp 505 bp 476 bp 509 bp 519 bp 488 bp 472 bp 5.42% 6.94% 6.05% 5.89% 6.95% 7.03% 6.09% 7.21% 5.10% 6.40% 5.95% 5.41% 6.30% 6.16% 5.98% 6.59% 6.42% 6.11% 6.73% 6.62% 6.94% 6.32% 2Q10 Total Return 3Q10 4Q101 20101 STW 6.78% 8.12% 7.68% 7.09% 8.14% 8.68% 7.07% 7.52% 6.86% 7.52% 7.23% 6.24% 7.21% 7.18% 7.13% 7.35% 7.27% 7.43% 7.43% 7.64% 7.50% 7.29% Market Weight As of November 30, 2010 Current YTW Yield Duration 3.58 yrs 4.03 yrs 3.27 yrs 4.30 yrs 4.30 yrs 3.09 yrs 4.77 yrs 5.35 yrs 4.15 yrs 3.32 yrs 3.87 yrs 4.55 yrs 4.12 yrs 3.92 yrs 4.85 yrs 5.00 yrs 3.82 yrs 3.72 yrs 4.56 yrs 3.96 yrs 5.69 yrs 4.43 yrs Average Rating Split BB Split BB BB BB Split BB BB BB BB BB BB BB BB BB Split BB BB BB BB BB BB BB BB BB
Industry Automotive Broadcasting Cable and Satellite Chemicals Consumer Products Diversified Media Energy Financial Food and Beverages Gaming Lodging and Leisure Healthcare Housing Industrials Metals and Mining Paper and Packaging Retail Services Technology Telecommunications Transportation Utility J.P. Morgan Developed BB HY Index
Rating Split BBB BB Split BB 3.75% 3.57% 3.43% 0.95% 1.04% 0.76% 6.16% 6.67% 6.03% 0.75% 0.68% 0.82%
12.02% 12.38% 11.40%
22.49% 43.64% 33.61%
383 bp 464 bp 540 bp
5.81% 6.24% 6.73%
6.68% 7.20% 7.80%
5.51 yrs 4.40 yrs 3.72 yrs
Split BBB BB Split BB
A90
JPMorgan Developed BB High-Yield Index profile

1Q10 3.63% 3.28% 1.01% 0.77% 6.48% 6.02% 0.70% 0.76% 12.25% 11.19% 66.13% 33.87% 437 bp 540 bp 6.09% 6.75% 2Q10 Total Return 3Q10 4Q101 20101 STW Market Weight As of November 30, 2010 Current YTW Yield 7.02% 7.81% Duration 4.78 yrs 3.75 yrs Average Rating BB B
Rating Tier Upper Tier (Split BBB, BB) Middle Tier (Split BB, B, Split B)
Security Type Cash Pay Deferred Default 3.52% 0.00% 0.00% 0.94% 0.00% 0.00% 6.33% 0.00% 0.00% 0.72% 0.00% 0.00% 11.91% 0.00% 0.00% 99.86% 0.14% 0.00% 471 bp 992 bp
6.31% 11.30%
7.28% 13.50%
4.43 yrs 4.45 yrs
BB
Size $0mn to $100mn $101mn to $299mn $300mn and Over 3.89% 4.06% 3.43% 4.04% 1.77% 0.80% 4.46% 4.98% 6.54% 1.06% 1.65% 0.59% 14.10% 13.01% 11.73% 0.38% 12.53% 87.09%
468 bp 524 bp 464 bp
6.26% 6.65% 6.27%
6.87% 7.53% 7.26%
4.55 yrs 3.94 yrs 4.50 yrs
BB BB BB
Seniority Senior Secured Senior Senior Subordinate Junior Subordinate 3.31% 3.55% 3.79% 2.38% 1.04% 0.93% 0.97% 0.22% 5.85% 6.48% 5.73% 6.98% 1.24% 0.64% 0.73% -1.15% 11.87% 12.00% 11.61% 8.50%
17.41% 74.06% 6.87% 1.66%
558 bp 448 bp 501 bp 493 bp
6.83% 6.17% 6.12% 8.22%
8.34% 7.06% 6.86% 8.35%
3.46 yrs 4.67 yrs 3.20 yrs 8.79 yrs
BB BB BB Split BBB
Duration <2 yrs 2 - 3 yrs 3 - 4 yrs 4 - 5 yrs 5 - 6 yrs 6 - 7 yrs 7 - 10 yrs 1.98% 3.85% 3.87% 3.51% 4.07% 4.71% 2.88% 0.26% 0.93% 1.30% 0.78% 0.64% 1.59% 3.23% 2.71% 5.54% 6.16% 6.84% 7.94% 9.21% 8.35% 0.16% 1.09% 1.16% 1.22% 1.19% 1.31% -0.23% 5.18% 11.83% 12.99% 12.80% 14.40% 17.69% 14.81%
13.41% 15.06% 15.56% 19.45% 16.89% 8.79% 7.20%
502 bp 506 bp 513 bp 497 bp 439 bp 409 bp 400 bp
5.34% 5.81% 6.36% 6.62% 6.43% 6.66% 7.01%
7.53% 7.58% 7.36% 7.31% 6.97% 7.03% 7.00%
BB BB BB BB BB BB BB
A91
JPMorgan Institutional High-Yield Index profile

1Q10 4.26% 3.17% 3.35% 4.74% 2.73% 3.99% 3.03% 8.57% 3.65% 3.66% 2.19% 4.29% 3.56% 3.35% 3.04% 2.60% 2.94% 4.18% 2.79% 4.74% 0.20% 3.49% 1.16% 0.22% -0.02% 1.47% 0.78% 1.57% 0.19% -1.05% 0.84% 1.25% 2.17% -0.69% 0.44% 0.96% 0.97% 0.92% 1.23% 0.69% 0.74% 1.29% 1.73% 0.68% 6.39% 6.81% 6.34% 6.44% 4.92% 5.60% 7.47% 8.25% 5.71% 5.35% 5.41% 5.54% 5.79% 5.41% 4.42% 5.13% 5.72% 5.82% 7.40% 6.52% 4.53% 6.23% 0.16% 1.62% 0.22% 1.46% 1.22% 0.98% 0.87% 0.44% 1.32% 1.75% 0.74% 1.79% 1.86% 1.25% 1.45% 0.51% 1.61% 1.21% -0.68% 2.16% 0.39% 0.93% 12.39% 12.22% 10.13% 14.78% 9.95% 12.62% 11.90% 16.81% 11.94% 12.50% 10.86% 11.26% 12.09% 11.35% 10.21% 9.40% 11.94% 12.35% 10.45% 15.44% 6.96% 11.72% 3.03% 1.59% 3.52% 3.98% 2.52% 1.86% 15.77% 10.99% 3.01% 4.61% 8.59% 3.07% 5.79% 3.10% 4.56% 4.43% 4.20% 3.06% 5.46% 1.99% 4.89% 100.00% 506 bp 592 bp 561 bp 495 bp 591 bp 699 bp 519 bp 564 bp 552 bp 592 bp 548 bp 487 bp 526 bp 504 bp 478 bp 503 bp 608 bp 573 bp 554 bp 577 bp 547 bp 543 bp 6.48% 7.50% 6.86% 6.24% 7.33% 8.26% 6.85% 7.63% 6.92% 7.15% 6.80% 6.51% 6.63% 6.27% 6.34% 6.64% 7.23% 7.02% 7.23% 7.00% 7.57% 6.97% 2Q10 Total Return 3Q10 4Q101 20101 STW 7.67% 8.19% 8.43% 7.91% 8.35% 9.18% 7.63% 7.72% 8.40% 8.21% 7.94% 7.21% 7.66% 7.50% 7.63% 7.86% 8.22% 8.33% 7.85% 8.41% 7.73% 7.89% Market Weight As of November 30, 2010 Current YTW Yield Duration 3.91 yrs 4.23 yrs 3.47 yrs 3.64 yrs 3.88 yrs 3.48 yrs 4.54 yrs 5.32 yrs 3.82 yrs 3.41 yrs 3.66 yrs 4.56 yrs 3.78 yrs 3.44 yrs 4.40 yrs 4.24 yrs 3.21 yrs 3.51 yrs 4.58 yrs 3.39 yrs 5.60 yrs 4.19 yrs Average Rating Split BB B Split BB Split BB Split BB Split BB Split BB Split BB Split BB Split BB Split BB Split BB Split BB Split BB BB Split BB Split BB Split BB Split BB Split BB Split BB Split BB
Industry Automotive Broadcasting Cable and Satellite Chemicals Consumer Products Diversified Media Energy Financial Food and Beverages Gaming Lodging and Leisure Healthcare Housing Industrials Metals and Mining Paper and Packaging Retail Services Technology Telecommunications Transportation Utility J.P. Morgan Institutional HY Index
Rating Split BBB BB Split BB B 4.02% 3.43% 3.25% 3.39% 0.92% 1.14% 1.07% 0.09% 6.04% 6.46% 6.07% 6.23% 0.85% 0.55% 0.84% 1.27%
12.26% 11.98% 11.63% 11.32%
13.46% 24.42% 20.22% 41.77%
376 bp 461 bp 539 bp 647 bp
5.77% 6.21% 6.75% 7.89%
6.73% 7.20% 7.76% 8.71%
5.60 yrs 4.39 yrs 3.77 yrs 3.82 yrs
Split BBB BB Split BB B
A92
JPMorgan Institutional High-Yield Index profile

1Q10 3.66% 3.35% 1.06% 0.44% 6.31% 6.17% 0.66% 1.11% 12.10% 11.44% 37.88% 62.12% 430 bp 612 bp 6.05% 7.53% 2Q10 Total Return 3Q10 4Q101 20101 STW 7.03% 8.41% Market Weight As of November 30, 2010 Current YTW Yield Duration 4.82 yrs 3.80 yrs Average Rating BB B
Rating Tier Upper Tier (Split BBB, BB) Middle Tier (Split BB, B, Split B)
Security Type Cash Pay Deferred Default 3.49% 2.42% 0.00% 0.68% 1.44% 0.00% 6.23% 5.59% 0.00% 0.92% 2.78% 0.00% 11.72% 12.76% 0.00% 99.67% 0.33% 0.00% 542 bp 943 bp
6.96% 10.53%
7.87% 11.45%
4.19 yrs 3.71 yrs
Split BB Split BB
Size $0mn to $100mn $101mn to $299mn $300mn and Over 4.10% 3.90% 3.38% 2.75% 1.22% 0.56% 4.15% 5.07% 6.50% 1.77% 1.96% 0.73% 13.38% 12.66% 11.53% 0.36% 16.36% 83.28%
497 bp 619 bp 529 bp
6.23% 7.47% 6.87%
7.46% 8.42% 7.78%
3.62 yrs 3.54 yrs 4.32 yrs
BB Split BB Split BB
Seniority Senior Secured Senior Senior Subordinate Junior Subordinate 3.40% 3.40% 4.05% 8.54% 0.54% 0.74% 0.66% 0.52% 6.41% 6.29% 4.96% 7.53% 1.76% 0.65% 1.10% -1.05% 12.57% 11.44% 11.15% 16.08% 23.95% 67.51% 6.98% 1.48%
645 bp 506 bp 560 bp 516 bp
7.78% 6.69% 6.64% 8.03%
8.88% 7.56% 7.53% 8.37%
3.64 yrs 4.43 yrs 2.96 yrs 8.00 yrs
Split BB Split BB Split BB BB
Duration <2 yrs 2 - 3 yrs 3 - 4 yrs 4 - 5 yrs 5 - 6 yrs 6 - 7 yrs 7 - 10 yrs 2.31% 3.58% 3.71% 3.36% 4.25% 3.85% 2.76% 0.56% 0.62% 1.56% 0.16% -0.09% 1.22% 3.36% 2.88% 5.54% 6.33% 6.75% 7.84% 9.95% 7.52% 0.52% 1.33% 1.41% 1.71% 1.17% 0.43% -0.69% 6.39% 11.47% 13.58% 12.40% 13.63% 16.07% 13.41%
14.57% 14.87% 16.56% 22.59% 16.42% 7.81% 4.78%
550 bp 581 bp 600 bp 589 bp 500 bp 448 bp 401 bp
5.83% 6.59% 7.28% 7.56% 7.06% 7.09% 7.00%
8.21% 8.41% 8.16% 7.96% 7.36% 7.31% 6.97%
Split BB Split BB Split BB Split BB Split BB Split BB BB
A93
JPMorgan 100 High-Yield Index profile

1Q10 2Q10 Total Return 3Q10 4Q101 20101 STW Market Weight As of November 30, 2010 Current YTW Yield Duration Average Rating B Split B B B B Split BB Split BB Split B B B Split BB Split BB Split BB Split BB B Split B B BB Split BB B 2.73 yrs 3.08 yrs 3.01 yrs 2.66 yrs 0.00 yrs 3.38 yrs 4.89 yrs 5.74 yrs 0.00 yrs 5.11 yrs 2.67 yrs 3.48 yrs 4.21 yrs 2.80 yrs 5.93 yrs 4.52 yrs 1.29 yrs 4.32 yrs 4.43 yrs 11.06 yrs 5.30 yrs 4.33 yrs
Industry Automotive Broadcasting Cable and Satellite Chemicals Consumer Products Diversified Media Energy Financial Food and Beverages Gaming Lodging and Leisure Healthcare Housing Industrials Metals and Mining Paper and Packaging Retail Services Technology Telecommunications Transportation Utility J.P. Morgan High Yield 100 Index 2.99% 3.64% 5.02% 5.12% 0.00% 3.19% 6.05% 8.89% 4.91% 6.04% 1.40% 3.25% 2.86% 5.28% 2.52% 2.65% 2.36% 3.66% 3.39% 0.00% -2.18% 4.08% 1.34% -2.32% -0.45% 0.26% 0.00% 0.66% -2.76% -1.21% 0.00% 2.25% 1.18% -1.28% 0.27% 0.49% -1.25% -0.19% 0.99% -7.09% 0.01% -1.97% 0.18% -0.74% 4.31% 13.60% 7.27% 6.64% 0.00% 5.77% 7.26% 8.75% 0.00% 3.16% 5.35% 6.82% 7.35% 6.09% 5.10% 5.72% 5.16% 11.86% 8.61% 19.68% 6.30% 7.36% -1.83% 5.36% -0.36% 3.03% 0.00% 0.60% 1.14% -0.51% 0.00% 5.49% 0.21% 2.10% 1.90% 3.21% 1.15% -0.02% 1.49% 4.99% -0.74% -3.00% -1.55% 0.81% 6.88% 21.16% 11.75% 15.81% 0.00% 10.51% 11.87% 16.39% 4.91% 17.98% 8.32% 11.17% 12.83% 15.83% 7.63% 8.29% 10.32% 13.10% 11.47% 13.81% 2.55% 11.82% 3.79% 2.54% 5.93% 2.96% 0.00% 2.21% 12.42% 13.75% 0.00% 2.88% 7.73% 3.60% 3.92% 4.52% 4.84% 3.33% 1.57% 5.39% 9.98% 1.00% 7.65% 100.00% 525 bp 718 bp 681 bp 557 bp 0 bp 758 bp 655 bp 606 bp 0 bp 897 bp 631 bp 972 bp 520 bp 509 bp 644 bp 518 bp 656 bp 860 bp 645 bp 389 bp 841 bp 667 bp 6.19% 8.23% 7.85% 6.44% 0.00% 8.79% 8.39% 8.22% 0.00% 11.22% 7.25% 11.02% 6.76% 6.03% 8.62% 6.81% 6.93% 10.09% 8.05% 7.78% 10.39% 8.26%
7.53% 9.52% 9.60% 9.61% 0.00% 9.12% 8.43% 7.85% 0.00% 10.45% 8.71% 10.30% 7.57% 7.25% 8.39% 7.44% 9.05% 9.42% 8.81% 7.65% 9.15% 8.64%
Rating Split BBB BB Split BB B Split B CCC/Split CCC Not Rated 2.95% 3.82% 3.12% 3.76% 2.79% 4.09% 9.61% -0.30% 0.68% 0.95% -0.97% -5.29% -0.67% 0.00% 7.73% 8.59% 5.75% 7.13% 6.88% 8.76% 0.00% 0.12% -0.62% -0.35% 1.30% 1.81% 2.29% 0.00%
10.71% 12.79% 9.70% 11.52% 5.94% 15.03% 9.61%
10.70% 15.82% 14.17% 36.40% 9.93% 12.98% 0.00%
405 bp 472 bp 583 bp 638 bp 940 bp 1084 bp 0 bp
6.46% 6.87% 6.92% 7.87% 10.58% 12.19% 0.00%
6.90% 7.45% 8.04% 8.61% 9.83% 11.32% 0.00%
A94
JPMorgan 100 High-Yield Index profile

1Q10 3.47% 3.45% 5.88% 0.26% -1.33% -0.35% 8.19% 6.72% 8.41% -0.30% 1.01% 2.29% 11.89% 10.02% 17.01% 26.52% 60.50% 12.98% 445 bp 675 bp 1084 bp 6.70% 8.09% 12.19% 2Q10 Total Return 3Q10 4Q101 20101 STW 7.23% 8.68% 11.32% Market Weight As of November 30, 2010 Current YTW Yield Duration 6.21 yrs 3.68 yrs 3.50 yrs Average Rating BB B CCC/Split CCC
Security Type Cash Pay Deferred Default 4.16% 2.36% 0.00% -0.42% -6.67% 0.00% 7.06% 14.00% 0.00% 0.60% 6.39% 0.00% 11.72% 15.86% 0.00% 96.78% 3.22% 0.00% 652 bp 1121 bp
8.12% 12.31%
8.57% 10.53%
4.35 yrs 3.64 yrs
B Split B
Seniority Senior Secured Senior Senior Subordinate Junior Subordinate 4.82% 3.84% 3.13% 4.37% -1.63% -0.35% 0.61% -2.59% 6.89% 7.47% 9.21% 7.24% 1.79% 0.41% 0.28% -1.52% 12.20% 11.66% 13.64% 7.38% 32.21% 63.23% 3.29% 1.28%
728 bp 646 bp 568 bp 381 bp
8.80% 8.06% 6.91% 7.76%
9.16% 8.44% 7.67% 7.75%
3.96 yrs 4.42 yrs 3.57 yrs 11.27 yrs
B Split BB Split BB Split BBB
Duration <2 yrs 2 - 3 yrs 3 - 4 yrs 4 - 5 yrs 5 - 6 yrs 6 - 7 yrs 7 - 10 yrs 2.99% 4.08% 4.40% 4.06% 5.58% -0.65% 0.68% 0.49% 0.33% -1.40% -0.74% -1.99% 0.07% 1.63% 3.53% 5.23% 8.31% 7.95% 8.64% 11.21% 15.37% -0.01% 0.84% 0.47% 3.70% 0.97% -2.40% 0.19% 7.14% 10.79% 12.02% 15.62% 13.51% 7.90% 18.28%
10.00% 15.86% 21.58% 19.47% 19.78% 5.10% 3.43%
638 bp 747 bp 810 bp 777 bp 508 bp 475 bp 466 bp
6.70% 8.22% 9.37% 9.50% 7.10% 7.47% 7.90%
8.99% 9.25% 9.62% 8.84% 7.41% 7.66% 7.57%
B B B B Split BB Split BB Split BB
A95
JPMorgan Euro High-Yield Index profile

1Q10 9.32% 11.18% 4.97% 10.65% 6.53% 6.96% 8.08% 10.47% 7.45% 12.01% 6.57% 4.14% 6.53% 7.75% 7.49% 2.34% 10.83% 16.26% 0.22% 9.46% 5.04% 7.66% -0.82% -2.91% -2.04% -0.72% -1.04% -8.60% -5.97% -2.36% -1.87% -3.70% -1.05% -1.50% -2.19% -0.21% -1.49% -0.40% -2.07% -3.60% -5.41% 2.02% -2.68% -2.00% 3.87% 2.52% 9.96% 8.93% 7.03% 4.74% 10.83% 6.72% 6.11% 9.38% 3.87% 5.35% 6.01% 5.77% 6.63% 6.13% 7.78% 10.15% 7.14% 8.63% 8.08% 6.62% 0.22% 3.27% -2.20% 1.05% 1.36% -13.48% 0.80% 2.09% -0.65% -0.66% -1.76% 0.65% -3.06% 2.61% 0.33% 0.09% 1.03% 0.59% 0.77% -0.27% 2.79% -0.14% 12.86% 14.29% 10.58% 20.90% 14.36% -11.41% 13.54% 17.53% 11.15% 17.21% 7.61% 8.78% 7.09% 16.70% 13.28% 8.27% 18.18% 24.17% 2.35% 20.98% 13.57% 12.33% 16.42% 1.02% 7.93% 7.13% 1.00% 2.06% 1.21% 6.57% 6.01% 3.63% 2.60% 7.52% 5.68% 3.92% 9.81% 2.76% 4.02% 1.36% 6.90% 2.23% 0.20% 100.00% 449 bp 762 bp 682 bp 662 bp 605 bp 2003 bp 515 bp 723 bp 465 bp 705 bp 584 bp 581 bp 547 bp 402 bp 580 bp 517 bp 757 bp 669 bp 631 bp 726 bp 552 bp 616 bp 5.68% 9.12% 8.66% 8.08% 7.59% 21.36% 6.88% 8.74% 6.26% 8.42% 7.01% 7.20% 7.22% 5.52% 7.43% 6.49% 8.93% 8.04% 7.86% 8.91% 6.37% 7.64% 2Q10 Total Return 3Q10 4Q101 20101 STW 6.76% 10.21% 8.82% 8.18% 7.88% 13.54% 6.44% 6.13% 6.78% 7.46% 7.46% 7.03% 6.68% 7.40% 7.80% 7.13% 9.01% 7.89% 9.50% 8.20% 7.94% 7.70% Market Weight As of November 30, 2010 Current YTW Yield Duration 2.76 yrs 3.47 yrs 4.45 yrs 3.31 yrs 3.57 yrs 2.56 yrs 4.36 yrs 2.93 yrs 3.94 yrs 3.22 yrs 2.64 yrs 3.25 yrs 4.50 yrs 3.66 yrs 4.02 yrs 3.08 yrs 2.98 yrs 3.21 yrs 3.25 yrs 3.75 yrs 1.34 yrs 3.44 yrs Average Rating Split BB B B B B Split B BB Split BB Split BB B Split BB Split BB Split BB BB Split BB Split BB Split B B Split BB Split BB BB Split BB
Industry Automotive Broadcasting Cable and Satellite Chemicals Consumer Products Diversified Media Energy Financial Food and Beverages Gaming Lodging and Leisure Healthcare Housing Industrials Metals and Mining Paper and Packaging Retail Services Technology Telecommunications Transportation Utility JP. Morgan Euro HY Index
Rating Split BBB BB Split BB B Split B CCC/Split CCC Not Rated 5.81% 5.37% 5.41% 6.65% 10.71% 11.39% 7.01% -0.78% -0.95% -2.05% -2.02% -6.66% -3.25% -2.30% 4.16% 5.18% 6.86% 7.45% 8.27% 11.37% 11.83% 1.78% -0.34% -0.10% -0.27% -4.84% 1.32% 2.24%
11.29% 9.40% 10.23% 11.98% 6.47% 21.61% 19.54%
7.94% 36.97% 7.97% 33.86% 5.20% 5.32% 1.61%
299 bp 444 bp 555 bp 736 bp 1138 bp 1063 bp 629 bp
4.30% 5.88% 7.09% 8.91% 12.59% 12.30% 8.05%
6.10% 6.40% 7.72% 8.82% 9.54% 9.58% 9.08%
A96
JPMorgan Euro High-Yield Index profile

1Q10 5.47% 6.77% 17.19% -0.89% -2.51% -3.78% 4.91% 7.36% 8.84% 0.04% -0.69% 0.66% 9.71% 10.98% 23.52% 44.91% 47.02% 6.45% 419 bp 750 bp 1088 bp 5.60% 9.01% 12.54% 2Q10 Total Return 3Q10 4Q101 20101 STW 6.35% 8.72% 9.64% Market Weight As of November 30, 2010 Current YTW Yield Duration 3.46 yrs 3.48 yrs 2.96 yrs Average Rating BB B CCC/Split CCC
Security Type Cash Pay Deferred Default 6.97% 7.18% 57.59% -1.93% -0.80% -6.58% 6.80% 7.03% -6.44% -0.11% 1.26% -3.08% 11.91% 15.23% 33.49% 98.55% 0.42% 1.03% 616 bp 722 bp
7.64% 7.97%
7.70% 7.97%
3.45 yrs 0.64 yrs
Split BB Split B
Size $0mn to $100mn $101mn to $299mn $300mn and Over 3.21% 6.47% 7.96% 1.06% -0.15% -2.37% 3.71% 6.53% 6.66% 0.00% 1.46% -0.39% 8.18% 14.91% 11.97% 0.33% 13.19% 86.48%
1745 bp 728 bp 595 bp
23.21% 8.60% 7.44%
9.14% 8.60% 7.56%
1.69 yrs 2.78 yrs 3.54 yrs
B B Split BB
Seniority Senior Secured Senior Senior Subordinate Junior Subordinate 7.41% 7.39% 10.56% 4.60% -3.12% -1.55% -2.16% -1.01% 8.09% 5.84% 8.42% 5.76% -0.74% 0.14% 0.09% 1.26% 11.66% 12.06% 17.39% 10.89%
31.12% 63.41% 5.05% 0.42%
796 bp 520 bp 692 bp 722 bp
9.49% 6.66% 8.32% 7.97%
9.19% 6.88% 8.62% 7.97%
3.54 yrs 3.43 yrs 3.14 yrs 0.64 yrs
B Split BB B Split B
Duration <2 yrs 2 - 3 yrs 3 - 4 yrs 4 - 5 yrs 5 - 6 yrs 6 - 7 yrs 7 - 10 yrs 4.03% 6.16% 8.30% 7.51% 7.38% 9.67% 0.00% -1.56% -2.15% -1.35% -3.46% -1.14% 2.85% 0.00% 4.05% 6.32% 7.20% 7.51% 8.54% 9.04% 0.00% 0.24% -1.23% 0.68% -0.07% -1.35% 2.66% -3.31% 6.81% 9.08% 15.31% 11.50% 13.67% 26.26% -3.31%
17.31% 15.46% 32.25% 21.07% 10.00% 1.38% 1.51%
611 bp 782 bp 573 bp 602 bp 579 bp 542 bp 412 bp
7.07% 8.89% 7.16% 7.83% 7.91% 8.03% 6.78%
7.41% 7.48% 7.84% 7.92% 7.77% 7.98% 6.49%
A97
JPMorgan Sterling High-Yield Index profile

1Q10 2Q10 Total Return 3Q10 4Q101 20101 STW Market Weight As of November 30, 2010 Current YTW Yield Duration Average Rating B Split BB BB
B BB BB BB B B
Industry Automotive Broadcasting Cable and Satellite Chemicals Consumer Products Diversified Media Energy Financial Food and Beverages Gaming Lodging and Leisure Healthcare Housing Industrials Metals and Mining Paper and Packaging Retail Services Technology Telecommunications Transportation Utility J.P. Morgan Sterling HY Index 13.53% 10.84% 5.98% 0.00% 0.00% 2.21% 0.00% 9.22% 3.14% 4.24% 0.00% 0.00% 8.90% 3.98% 0.00% 4.56% 2.77% 0.00% 2.56% 7.17% 3.71% 7.16% 6.27% -0.39% -2.09% 0.00% 0.00% 2.30% 0.00% -1.86% 2.43% -2.76% 0.00% 0.00% 9.91% -0.06% 0.00% 0.75% -1.18% 0.00% -0.77% -3.44% 0.70% -0.17% -1.25% 8.10% 11.14% 0.00% 0.00% 2.21% 0.00% 10.39% 0.87% 5.47% -0.10% 0.00% 8.90% 4.23% 0.00% 3.16% 3.84% 0.00% 5.24% 11.64% 19.38% 7.53% 0.11% 1.16% 0.22% 0.00% 0.00% 1.46% 0.00% -6.46% 0.59% 1.95% 0.31% 0.00% 6.32% 0.59% 0.00% 1.47% 3.73% 0.00% 2.24% 4.06% 1.59% 0.10% 19.28% 20.73% 15.58% 0.00% 0.00% 8.44% 0.00% 10.68% 7.20% 8.98% 0.22% 0.00% 38.57% 8.95% 0.00% 10.27% 9.41% 0.00% 9.49% 20.21% 26.66% 15.14% 10.16% 7.07% 14.57% 0.00% 0.00% 0.99% 0.00% 12.94% 5.18% 10.27% 2.76% 0.00% 0.22% 0.00% 0.00% 9.07% 3.43% 0.00% 5.77% 6.53% 11.03% 100.00% 252 bp 406 bp 392 bp 0 bp 0 bp 1074 bp 0 bp 702 bp 401 bp 487 bp 749 bp 0 bp 7655 bp 0 bp 0 bp 857 bp 610 bp 0 bp 520 bp 473 bp 427 bp 539 bp 5.16% 6.08% 6.17% 0.00% 0.00% 12.20% 0.00% 10.04% 6.46% 7.01% 9.85% 0.00% 77.99% 0.00% 0.00% 10.35% 8.34% 0.00% 6.95% 6.91% 6.55% 7.67%
6.58% 6.13% 7.04% 0.00% 0.00% 9.13% 0.00% 8.29% 7.34% 7.56% 9.80% 0.00% 39.38% 0.00% 0.00% 9.48% 8.79% 0.00% 9.17% 7.23% 8.07% 7.91%
4.63 yrs 4.30 yrs 4.76 yrs 0.00 yrs 0.00 yrs 2.78 yrs 0.00 yrs 6.88 yrs 5.79 yrs 4.24 yrs 4.65 yrs 0.00 yrs 1.67 yrs 0.00 yrs 0.00 yrs 3.43 yrs 2.77 yrs 0.00 yrs 2.75 yrs 4.76 yrs 4.28 yrs 4.60 yrs
Split BB B B BB Split BB Split BB
Rating Split BBB BB Split BB B Split B CCC/Split CCC Not Rated 11.35% 4.05% 8.86% 4.10% 2.08% 7.35% 4.76% -2.05% -0.71% -1.94% -0.42% 0.00% 6.09% -0.36% 13.70% 5.23% 8.85% 5.79% 0.00% 6.28% 17.69% -10.38% 1.18% 1.17% 1.57% 0.00% 3.85% 2.26%
11.14% 9.99% 17.55% 11.39% 2.08% 25.70% 25.63%
8.15% 38.74% 16.87% 20.76% 0.00% 0.22% 11.45%
516 bp 408 bp 465 bp 755 bp 0 bp 5112 bp 629 bp
8.45% 6.22% 6.87% 9.47% 0.00% 52.63% 9.06%
7.25% 7.06% 7.32% 9.47% 0.00% 25.50% 8.95%
A98
JPMorgan Sterling High-Yield Index profile

1Q10 5.47% 5.90% 38.37% -1.10% -0.76% 13.13% 7.22% 6.60% -5.74% -1.34% 1.49% -3.02% 10.34% 13.70% 43.08% 46.90% 37.63% 4.02% 427 bp 625 bp 5112 bp 6.60% 8.31% 52.63% 2Q10 Total Return 3Q10 4Q101 20101 STW 7.09% 8.50% 25.50% Market Weight As of November 30, 2010 Current YTW Yield Duration 5.04 yrs 3.70 yrs 2.00 yrs Average Rating BB B CCC/Split CCC
Security Type Cash Pay Deferred Default 5.82% 0.00% 42.04% -0.83% 0.00% 13.53% 8.24% 0.00% -6.35% 0.23% 0.00% -3.39% 13.87% 0.00% 45.90% 96.20% 0.00% 3.80% 539 bp 0 bp
7.67% 0.00%
7.91% 0.00%
4.60 yrs 0.00 yrs
Split BB
2792 bp 571 bp 391 bp
29.45% 7.71% 6.57%
17.02% 8.29% 6.99%
2.59 yrs 3.46 yrs 6.14 yrs
B Split BB BB
Seniority Senior Secured Senior Senior Subordinate Junior Subordinate 7.87% 7.09% 2.32% 7.49% -1.83% 0.78% 0.11% -2.12% 6.49% 7.03% 3.17% 18.02% 1.71% 0.93% 2.55% -13.67% 14.69% 16.58% 8.36% 7.18%
28.75% 62.25% 2.67% 6.33%
597 bp 515 bp 658 bp 449 bp
8.14% 7.31% 8.59% 8.45%
8.43% 7.66% 7.90% 7.84%
4.44 yrs 4.11 yrs 1.83 yrs 11.01 yrs
BB Split BB B Split BBB
Duration <2 yrs 2 - 3 yrs 3 - 4 yrs 4 - 5 yrs 5 - 6 yrs 6 - 7 yrs 7 - 10 yrs 4.15% 5.58% 3.91% 8.55% 7.76% 5.16% -1.66% -1.61% -2.93% 0.85% -1.83% -0.33% 1.09% 1.54% 3.12% 5.45% 4.16% 7.55% 5.98% 15.46% 1.78% 1.62% 2.48% 0.97% 1.48% -0.74% 1.23% 0.96% 7.39% 10.75% 10.21% 16.30% 12.99% 24.26% 2.60%
20.94% 1.76% 7.21% 39.63% 4.39% 8.33% 7.61%
583 bp 2179 bp 531 bp 507 bp 692 bp 379 bp 372 bp
7.43% 23.34% 6.97% 7.19% 9.56% 6.73% 7.13%
8.12% 14.20% 7.93% 7.49% 9.53% 7.29% 7.82%
Split BB B BB Split BB B Split BB BB
A99
JPMorgan US Dollar European High-Yield Index profile

1Q10 2Q10 Total Return 3Q10 4Q101 STW 20101 Market Weight As of November 30, 2010 Current YTW Yield Duration Average Rating
Industry Automotive Broadcasting Cable and Satellite Chemicals Consumer Products Diversified Media Energy Financial Food and Beverages Gaming Lodging and Leisure Healthcare Housing Industrials Metals and Mining Paper and Packaging Retail Services Technology Telecommunications Transportation Utility J.P. Morgan US$ European HY Index 0.00% -21.57% 3.79% 26.31% 1.65% 3.52% 2.68% 12.35% 5.25% 11.95% 4.77% 4.48% 6.72% 9.51% 4.62% 0.00% 8.43% 8.20% 4.16% 6.52% 0.93% 5.49% 0.00% -14.06% -0.73% 2.74% 4.56% 0.15% -2.81% 1.66% -6.47% -0.95% -0.23% -1.28% 3.42% -0.62% 3.59% 0.00% -0.62% -6.77% -1.61% 0.30% -1.20% -0.99% 0.00% 125.66% 7.27% 9.14% -0.98% 5.13% 6.36% 9.49% 13.52% 6.99% 4.57% 4.74% 3.92% 5.82% 6.09% 0.00% 5.40% 16.60% 8.01% 9.63% 8.50% 7.80% 0.00% 0.00% 0.95% 1.83% 0.46% 1.22% 1.82% -0.57% 0.65% 3.37% 0.37% 2.14% 0.34% 0.35% 3.81% 0.00% 3.86% 6.11% 0.55% 2.20% -0.51% 1.49% 0.00% 52.10% 11.57% 44.23% 5.72% 10.32% 8.07% 24.34% 12.48% 22.63% 9.71% 10.35% 15.08% 15.56% 19.36% 0.00% 17.95% 24.81% 11.30% 19.71% 7.65% 14.27% 0.00% 0.00% 9.93% 3.89% 0.50% 4.55% 8.33% 6.73% 1.13% 2.49% 4.82% 3.18% 2.11% 10.22% 6.17% 0.00% 1.86% 7.09% 20.40% 3.89% 2.73% 100.00% 0 bp 0 bp 517 bp 733 bp 434 bp 662 bp 748 bp 539 bp 683 bp 721 bp 609 bp 400 bp 647 bp 555 bp 484 bp 0 bp 825 bp 625 bp 575 bp 626 bp 667 bp 598 bp 0.00% 0.00% 6.24% 8.85% 4.68% 7.59% 8.87% 7.20% 8.60% 8.46% 7.43% 5.11% 7.86% 7.14% 6.93% 0.00% 9.78% 8.41% 7.13% 7.82% 8.00% 7.46%
0.00% 0.00% 7.87% 8.64% 8.29% 7.71% 8.54% 6.74% 9.11% 9.41% 8.23% 5.59% 9.52% 8.02% 7.25% 0.00% 10.78% 8.68% 8.66% 7.91% 8.67% 8.18%
0.00 yrs 0.00 yrs 3.10 yrs 4.07 yrs 1.34 yrs 2.64 yrs 3.77 yrs 5.06 yrs 4.43 yrs 3.46 yrs 3.70 yrs 3.40 yrs 3.54 yrs 4.29 yrs 5.84 yrs 0.00 yrs 3.84 yrs 6.00 yrs 3.66 yrs 4.23 yrs 3.59 yrs 4.05 yrs
Split BB B B Split B B Split BB B B Split BB BB Split BB Split BB BB CCC/Split CCC Split B Split BB Split BB BB Split BB
Rating Split BBB BB Split BB B Split B CCC/Split CCC Not Rated 1.16% 5.47% 6.86% 4.02% 2.86% 10.06% 2.63% 1.56% -0.34% -1.38% -1.72% 0.03% -2.24% -0.63% 6.72% 7.24% 5.48% 7.67% 5.03% 12.36% 3.76% -0.81% 1.25% 1.05% 1.94% 1.50% 1.62% 4.65%
8.75% 14.13% 12.34% 12.21% 9.68% 22.85% 10.73%
3.61% 37.22% 9.79% 32.03% 5.52% 10.94% 0.89%
442 bp 486 bp 559 bp 696 bp 620 bp 761 bp 667 bp
5.37% 6.53% 6.60% 8.48% 7.18% 9.17% 8.19%
5.06% 7.34% 8.53% 9.01% 7.86% 9.45% 8.31%
Split BBB BB Split BB B Split B CCC/Split CCC
A100
JPMorgan US Dollar European High-Yield Index profile

1Q10 4.35% 4.49% 11.33% 0.02% -1.59% -1.39% 7.29% 6.93% 11.61% 1.02% 1.66% 1.62% 13.12% 11.79% 24.52% 40.82% 47.34% 10.94% 483 bp 659 bp 761 bp 6.43% 7.94% 9.17% 2Q10 Total Return 3Q10 4Q101 STW 20101 Market Weight As of November 30, 2010 Current YTW Yield 7.14% 8.78% 9.45% Duration 4.43 yrs 3.68 yrs 4.22 yrs Average Rating BB B CCC/Split CCC
Security Type Cash Pay Deferred Default 5.51% 4.11% 8.60% -1.00% 0.26% -14.06% 7.83% 5.12% -65.80% 1.50% 0.87% 0.00% 14.32% 10.68% -68.09% 97.75% 2.25% 0.00% 595 bp 760 bp
7.45% 7.81%
8.19% 7.81%
4.13 yrs 0.64 yrs
Split BB Split B
Size $0MN to $100mn $101mn to $299mn $300mn and Over 0.00% 3.86% 5.58% 0.00% 1.30% -1.12% 0.00% 4.95% 7.97% 0.00% 1.95% 1.45% 0.00% 12.57% 14.36% 0.00% 6.60% 93.40%
0 bp 712 bp 590 bp
0.00% 8.54% 7.38%
0.00% 9.35% 8.10%
0.00 yrs 3.75 yrs 4.07 yrs
B Split BB
Seniority Senior Secured Senior Senior Subordinate Junior Subordinate 5.63% 5.75% 3.32% 4.11% -1.91% -0.56% 1.26% 0.26% 7.47% 7.58% 10.84% 5.12% 1.25% 1.98% -0.55% 0.87% 12.74% 15.37% 15.32% 10.68%
41.90% 49.87% 5.97% 2.25%
641 bp 568 bp 486 bp 760 bp
7.87% 7.20% 6.61% 7.81%
8.76% 7.92% 6.44% 7.81%
3.85 yrs 4.26 yrs 4.99 yrs 0.64 yrs
Split BB Split BB Split BB Split B
Duration <2 yrs 2 - 3 yrs 3 - 4 yrs 4 - 5 yrs 5 - 6 yrs 6 - 7 yrs 7 - 10 yrs 2.08% 6.65% 7.35% 5.72% 5.83% -3.51% 5.15% 0.21% 0.29% -1.34% -2.72% 1.02% 0.00% -2.04% 3.84% 5.47% 9.98% 6.13% 8.47% 4.20% 15.70% 0.84% 0.08% 2.05% 2.32% 0.66% -0.86% 6.51%
7.13% 12.91% 18.87% 11.67% 16.73% -0.32% 26.94%
10.53% 15.56% 27.64% 24.51% 11.34% 3.83% 6.03%
616 bp 579 bp 688 bp 586 bp 508 bp 466 bp 525 bp
6.48% 6.49% 8.21% 7.50% 7.15% 7.40% 8.61%
8.45% 7.80% 8.99% 7.80% 7.42% 7.75% 8.25%
B Split BB B Split BB BB BB B
A101
T
Peter D. Acciavatti (1-212) 270-9633 Tony Linares (1-212) 270-3285 Nelson R. Jantzen (1-212) 270-1169 Alisa Meyers (1-212) 834-9151
JPMorgan European Currency High-Yield Index profile

1Q10 8.38% 11.17% 5.29% 10.65% 6.53% 7.11% 8.08% 10.38% 6.57% 11.18% 6.57% 4.14% 6.56% 7.18% 7.45% 2.43% 10.33% 16.26% 0.50% 8.85% 3.93% 7.38% -0.08% -1.92% -2.14% -0.72% -1.04% -8.82% -5.97% -2.02% -1.47% -3.50% -1.05% -1.50% -2.10% -0.22% -1.48% -0.22% -2.02% -3.60% -4.87% 0.63% 0.26% -1.80% 3.78% 4.50% 10.09% 8.93% 7.03% 4.59% 10.83% 7.58% 5.93% 8.51% 3.64% 5.35% 6.04% 5.71% 6.61% 5.20% 7.55% 10.15% 6.89% 9.28% 17.92% 6.82% 0.54% 2.71% -1.75% 1.05% 1.36% -13.90% 0.80% 0.07% -0.79% 0.04% -1.52% 0.65% -3.00% 2.53% 0.33% 0.52% 1.25% 0.59% 0.89% 0.59% 1.73% -0.09% 13.00% 17.03% 11.46% 20.90% 14.36% -12.05% 13.54% 16.41% 10.35% 16.47% 7.63% 8.78% 7.30% 15.91% 13.23% 8.08% 17.71% 24.17% 3.11% 20.41% 25.01% 12.53% 15.54% 1.43% 9.20% 6.44% 0.90% 1.80% 1.09% 6.96% 5.07% 4.51% 2.68% 6.79% 5.15% 3.53% 8.85% 3.58% 4.04% 1.23% 6.92% 2.80% 1.50% 100.00% 439 bp 619 bp 621 bp 662 bp 605 bp 2078 bp 515 bp 739 bp 492 bp 645 bp 604 bp 581 bp 584 bp 402 bp 580 bp 621 bp 742 bp 669 bp 620 bp 655 bp 442 bp 611 bp 5.65% 7.83% 8.08% 8.08% 7.59% 22.17% 6.88% 9.28% 6.66% 8.04% 7.36% 7.20% 7.59% 5.52% 7.43% 7.68% 8.87% 8.04% 7.77% 8.35% 6.53% 7.69% 2Q10 Total Return 3Q10 4Q101 STW 20101 Market Weight As of November 30, 2010 Current YTW Yield 6.75% 8.50% 8.31% 8.18% 7.88% 13.72% 6.44% 6.82% 6.93% 7.48% 7.75% 7.03% 6.85% 7.40% 7.80% 7.85% 8.99% 7.89% 9.46% 7.93% 8.06% 7.75% Duration 2.85 yrs 3.72 yrs 4.51 yrs 3.31 yrs 3.57 yrs 2.68 yrs 4.36 yrs 3.90 yrs 4.27 yrs 3.50 yrs 2.89 yrs 3.25 yrs 4.48 yrs 3.66 yrs 4.02 yrs 3.18 yrs 2.96 yrs 3.21 yrs 3.20 yrs 4.03 yrs 3.93 yrs 3.58 yrs Average Rating Split BB Split BB Split BB B B Split B BB Split BB Split BB Split BB Split BB Split BB Split BB BB Split BB Split BB B B Split BB Split BB Split BB Split BB
Industry Automotive Broadcasting Cable and Satellite Chemicals Consumer Products Diversified Media Energy Financial Food and Beverages Gaming Lodging and Leisure Healthcare Housing Industrials Metals and Mining Paper and Packaging Retail Services Technology Telecommunications Transportation Utility J.P. Morgan European Currency Index
Rating Split BBB BB Split BB B Split B CCC/Split CCC Not Rated 6.30% 5.26% 5.74% 6.50% 11.29% 11.37% 6.42% -0.61% -0.90% -2.04% -1.90% -7.04% -3.22% -1.99% 5.27% 5.25% 6.98% 7.24% 8.47% 11.35% 14.34% -0.14% -0.20% 0.14% -0.11% -5.10% 1.34% 2.25%
11.06% 9.56% 10.97% 11.91% 6.51% 21.63% 21.94%
7.63% 37.84% 8.35% 33.04% 4.52% 4.83% 2.83%
317 bp 444 bp 545 bp 737 bp 1159 bp 1086 bp 629 bp
4.76% 5.98% 7.03% 8.96% 12.81% 12.52% 8.54%
6.44% 6.48% 7.63% 8.87% 9.57% 9.67% 9.02%
A102
JPMorgan European Currency High-Yield Index profile

1Q10 5.47% 6.78% 15.95% -0.82% -2.41% -2.99% 5.24% 7.25% 8.86% -0.20% -0.50% 1.11% 9.86% 11.19% 23.81% 45.46% 45.91% 5.80% 423 bp 744 bp 1110 bp 5.78% 8.99% 12.76% 2Q10 Total Return 3Q10 4Q101 STW 20101 Market Weight As of November 30, 2010 Current YTW Yield 6.47% 8.72% 9.73% Duration 3.71 yrs 3.47 yrs 2.95 yrs Average Rating BB B CCC/Split CCC
Security Type Cash Pay Deferred Default 6.89% 7.18% 47.60% -1.81% -0.80% -1.64% 6.98% 7.03% -7.41% -0.11% 1.26% 0.60% 12.17% 15.23% 35.23% 98.74% 0.38% 0.88% 611 bp 722 bp
7.69% 7.97%
7.75% 7.97%
3.60 yrs 0.64 yrs
Split BB Split B
2219 bp 679 bp 586 bp
26.03% 8.33% 7.43%
12.71% 8.52% 7.55%
2.10 yrs 3.00 yrs 3.72 yrs
B B Split BB
Seniority Senior Secured Senior Senior Subordinate Junior Subordinate 7.38% 7.04% 9.93% 6.38% -2.98% -1.27% -2.01% -1.42% 7.91% 6.06% 8.06% 10.46% -0.48% 0.28% 0.25% -9.10% 11.88% 12.40% 16.69% 5.30%
32.34% 61.65% 4.88% 1.14%
766 bp 524 bp 690 bp 541 bp
9.28% 6.78% 8.34% 8.29%
9.03% 6.99% 8.58% 7.88%
3.69 yrs 3.50 yrs 3.05 yrs 7.53 yrs
B Split BB B BB
Duration <2 yrs 2 - 3 yrs 3 - 4 yrs 4 - 5 yrs 5 - 6 yrs 6 - 7 yrs 7 - 10 yrs 4.26% 6.04% 8.19% 7.65% 7.12% 6.69% -1.66% -1.45% -2.17% -1.30% -3.28% -1.33% 2.63% 1.54% 3.85% 6.25% 7.21% 7.46% 8.35% 13.90% 1.03% 0.32% -1.19% 0.70% 0.20% -1.06% 2.50% -1.36% 7.05% 8.90% 15.28% 12.12% 13.30% 27.84% -0.49%
17.44% 14.16% 28.98% 23.42% 10.36% 1.72% 2.28%
612 bp 803 bp 581 bp 584 bp 575 bp 483 bp 396 bp
7.18% 9.11% 7.26% 7.72% 7.89% 7.54% 6.92%
7.62% 7.58% 7.89% 7.84% 7.74% 7.58% 7.02%
A103
JPMorgan European Aggregate High-Yield Index profile

1Q10 8.38% 9.29% 4.58% 11.28% 5.57% 5.76% 3.58% 10.23% 6.62% 11.10% 6.54% 4.87% 6.65% 8.97% 7.22% 2.43% 9.40% 11.35% 2.16% 7.64% 2.26% 6.99% -0.08% -2.45% -1.71% -0.85% -0.15% -6.26% -3.35% -0.65% -1.95% -3.13% -0.97% -1.62% -1.75% -0.43% -0.88% -0.22% -1.82% -6.49% -2.81% 1.16% -0.42% -1.54% 3.78% 4.76% 9.06% 9.10% 5.43% 4.40% 7.41% 8.39% 6.61% 8.28% 4.13% 5.37% 5.83% 5.75% 6.45% 5.20% 7.46% 12.95% 7.20% 9.44% 13.62% 7.02% 0.54% 2.71% -1.10% 1.32% 1.21% -10.27% 1.56% -0.10% -0.67% 0.59% -1.10% 0.61% -2.57% 1.46% 0.91% 0.52% 1.28% 4.69% 0.67% 1.21% 0.77% 0.25% 13.00% 14.72% 10.87% 21.96% 12.48% -7.12% 9.20% 18.58% 10.70% 17.22% 8.65% 9.38% 8.04% 16.42% 14.16% 8.08% 16.91% 23.13% 7.15% 20.60% 16.59% 13.02% 12.17% 1.12% 9.08% 5.63% 0.87% 1.97% 3.53% 7.45% 4.33% 4.33% 2.81% 4.90% 4.71% 6.05% 7.67% 2.81% 3.50% 2.43% 9.33% 3.27% 2.05% 100.00% 439 bp 619 bp 603 bp 675 bp 573 bp 1695 bp 692 bp 679 bp 508 bp 659 bp 696 bp 594 bp 593 bp 485 bp 561 bp 621 bp 741 bp 611 bp 601 bp 648 bp 538 bp 613 bp 5.65% 7.83% 7.63% 8.27% 7.06% 17.96% 8.39% 8.67% 6.83% 8.12% 8.35% 7.38% 7.63% 6.40% 7.27% 7.68% 8.86% 8.16% 7.41% 8.15% 7.16% 7.68% 2Q10 Total Return 3Q10 4Q10
1
U
2010
1
Market Weight STW
As of November 30, 2010 Current YTW Yield 6.75% 8.50% 8.27% 8.21% 7.95% 12.07% 8.03% 6.76% 7.11% 7.84% 8.47% 6.92% 7.24% 7.74% 7.64% 7.85% 9.14% 8.25% 9.11% 7.92% 8.32% 7.87%
Duration 2.85 yrs 3.72 yrs 3.99 yrs 3.53 yrs 3.16 yrs 2.15 yrs 3.91 yrs 4.24 yrs 4.29 yrs 3.49 yrs 3.37 yrs 3.38 yrs 4.35 yrs 4.00 yrs 4.20 yrs 3.18 yrs 3.03 yrs 5.45 yrs 3.33 yrs 3.98 yrs 3.78 yrs 3.69 yrs
Average Rating Split BB Split BB Split BB B B Split B Split BB Split BB Split BB Split BB Split BB Split BB Split BB BB Split BB Split BB Split B B Split BB Split BB BB Split BB
Industry Automotive Broadcasting Cable and Satellite Chemicals Consumer Products Diversified Media Energy Financial Food and Beverages Gaming Lodging and Leisure Healthcare Housing Industrials Metals and Mining Paper and Packaging Retail Services Technology Telecommunications Transportation Utility J.P. Morgan European Aggregate Index
Rating Split BBB BB Split BB B Split B CCC/Split CCC Not Rated 4.88% 5.50% 6.30% 5.63% 10.95% 10.86% 6.17% -0.13% -0.77% -1.98% -1.74% -6.66% -2.76% -2.12% 5.75% 5.78% 6.72% 7.14% 8.22% 11.61% 13.15% -0.21% 0.10% 0.30% 0.41% -3.00% 1.47% 2.50%
10.53% 10.85% 11.54% 11.66% 8.72% 22.09% 20.52%
7.13% 36.30% 9.69% 32.82% 4.41% 6.38% 2.50%
338 bp 462 bp 549 bp 730 bp 1054 bp 946 bp 633 bp
4.86% 6.21% 6.89% 8.85% 11.60% 11.13% 8.50%
6.21% 6.73% 7.92% 8.86% 9.29% 9.53% 8.94%
A104
JPMorgan European Aggregate High-Yield Index profile

1Q10 5.32% 6.25% 14.57% -0.59% -2.16% -2.23% 5.76% 7.09% 9.65% 0.03% 0.03% 1.38% 10.77% 11.37% 24.52% 43.43% 46.92% 7.14% 442 bp 723 bp 962 bp 5.99% 8.71% 11.28% 2Q10 Total Return 3Q10 4Q101 STW 20101 Market Weight As of November 30, 2010 Current YTW Yield 6.65% 8.71% 9.57% Duration 3.89 yrs 3.48 yrs 3.58 yrs Average Rating BB B CCC/Split CCC
Security Type Cash Pay Deferred Default 6.64% 4.11% 41.25% -1.55% 0.26% -2.21% 7.15% 5.12% -5.05% 0.25% 0.87% 0.60% 12.77% 10.68% 31.93% 98.59% 0.72% 0.69% 612 bp 760 bp
7.68% 7.81%
7.87% 7.81%
3.71 yrs 0.64 yrs
Split BB Split B
Size $0mn to $100mn $101mn to $299mn $300mn and Over 3.43% 5.84% 7.24% 2.25% -0.07% -1.84% 4.28% 5.66% 7.30% 1.15% 1.56% 0.01% 11.55% 13.49% 12.96% 0.42% 14.98% 84.60%
2219 bp 680 bp 594 bp
26.03% 8.29% 7.48%
12.71% 8.60% 7.72%
2.10 yrs 2.96 yrs 3.83 yrs
B B Split BB
Seniority Senior Secured Senior Senior Subordinate Junior Subordinate 6.78% 6.96% 7.33% 3.71% -2.45% -1.14% -0.94% -0.94% 7.45% 6.44% 9.44% 8.98% 0.03% 0.58% 0.00% -6.33% 11.96% 13.19% 16.37% 4.88%
34.91% 58.78% 4.99% 1.32%
738 bp 538 bp 620 bp 620 bp
8.93% 6.92% 7.70% 8.10%
9.00% 7.20% 7.72% 7.82%
3.68 yrs 3.67 yrs 3.58 yrs 5.31 yrs
Split BB Split BB B Split BB
Duration <2 yrs 2 - 3 yrs 3 - 4 yrs 4 - 5 yrs 5 - 6 yrs 6 - 7 yrs 7 - 10 yrs 3.67% 6.54% 8.46% 7.04% 6.87% 2.02% 5.69% -1.08% -1.63% -1.08% -3.08% 0.09% 0.99% -1.51% 3.85% 6.09% 7.65% 6.99% 8.25% 12.70% 12.93% 0.41% -0.66% 0.73% 0.63% -0.59% 0.53% 2.80%
6.94% 10.45% 16.33% 11.70% 15.11% 16.73% 20.85%
16.33% 14.46% 28.09% 24.42% 9.68% 2.17% 3.56%
621 bp 764 bp 610 bp 590 bp 552 bp 446 bp 460 bp
7.12% 8.61% 7.52% 7.71% 7.63% 7.21% 7.76%
7.83% 7.77% 8.10% 7.87% 7.57% 7.45% 7.65%
Split BB Split BB Split BB Split BB Split BB BB Split BB
A105

Year-to-date 2010 performance
Issuer Automotive American Axle & Manufacturing ArvinMeritor Asbury Automotive Group AutoNation Avis Budget Car Rental BorgWarner Cooper Standard Automotive Cooper Tire & Rubber Co Exide Technologies Ford Motor Company Goodyear Tire & Rubber Hertz KAR Auction Services Lear LKQ Corp Motors Liquidation Co Penske Auto Group PEP Boys-Manny Moe & Jack Sonic Automotive Stoneridge Inc Tenneco Automotive Tower Automotive Holdings TRW Automotive Broadcasting Belo Corporation Clear Channel Outdoor Holdings Entravision Communications Fisher Communications Gray Television Lamar Media LIN Television Nexstar Finance Radio One Salem Communications Sinclair Broadcast Cable and Satellite Cablevision Systems Charter Communications Operating Digitalglobe DISH Network Corp Geoeye Hughes Network LLC Loral Space & Communications Mediacom Broadband Sirius XM Radio TerreStar Networks ViaSat Virgin Media Chemicals American Pacific Ashland Inc Ticker AXL ARM ABG AN CAR BWA COSH CTB XIDE F GT HTZ KAR LEA LKQX MTLQQ PAG PBY SAH SRI TEN TOWR TRW BLC CCO EVC FSCI GTN LAMR TVL NXST ROIA SALM SBGI CVC CHTR DGI DISH GEOY HUGH LORL MCCC SIRI TSTRQ VSAT VMED APFC ASH 52 Week High Low 12.12 18.78 16.92 27.00 16.85 59.38 49.55 23.23 8.72 17.42 16.39 15.60 15.84 91.88 22.93 0.88 17.70 13.42 13.25 13.58 36.71 14.97 52.17 9.45 13.89 3.60 19.75 4.88 38.73 8.22 7.56 5.40 5.99 8.53 30.08 39.99 33.16 24.16 47.50 35.80 65.57 7.65 1.61 1.49 42.00 26.63 8.92 63.73 6.03 8.00 9.48 16.99 8.57 29.69 27.45 16.05 3.60 8.40 9.10 8.36 11.03 39.29 17.06 0.06 10.89 7.76 8.21 6.00 14.14 12.50 21.10 4.49 8.08 1.51 12.00 0.52 23.83 3.46 2.50 0.61 2.10 3.08 19.95 29.10 20.30 17.32 23.30 21.19 26.35 3.85 0.56 0.06 26.04 13.48 3.84 34.58 Price 31-Dec-091 29-Oct-10 8.02 11.18 11.53 19.15 13.12 33.22 35.75 20.05 7.11 10.00 14.10 11.92 13.79 79.35 19.59 0.47 15.18 8.46 10.39 9.01 17.73 13.00 23.88 5.44 10.39 2.16 16.25 3.75 31.09 4.46 4.05 3.03 5.99 4.03 21.32 35.50 24.20 20.77 27.88 26.03 31.61 4.47 0.60 0.94 31.78 16.83 7.41 39.62 9.22 16.58 14.42 23.22 11.61 56.11 42.50 19.61 5.89 14.13 10.22 11.32 12.88 88.40 21.75 0.28 13.45 11.69 10.92 11.00 32.62 12.85 45.69 5.77 11.88 2.12 18.28 1.95 33.99 4.13 5.66 1.22 3.22 7.99 26.74 32.48 32.65 19.87 44.27 28.39 55.63 6.90 1.50 0.13 41.17 25.43 5.98 51.63 Shares (mn) 71.4 94.1 32.7 148.0 102.9 113.8 18.4 61.5 76.8 3,401.8 242.9 412.5 135.3 50.8 144.4 610.6 92.1 52.5 40.7 26.0 60.0 18.7 121.7 92.0 40.9 53.0 8.8 51.4 77.3 31.4 15.0 2.9 18.6 49.4 245.7 112.4 46.0 204.6 22.1 21.8 20.7 41.3 3,925.9 139.5 40.6 322.7 7.5 78.7 Market Cap ($ mn) 658.1 1,559.8 472.0 3,436.5 1,194.2 6,382.9 781.0 1,205.8 452.1 48,067.5 2,482.6 4,669.7 1,743.2 4,491.2 3,141.2 171.0 1,238.7 613.6 444.5 285.7 1,956.8 240.5 5,560.5 530.8 485.7 112.3 160.6 100.2 2,628.2 129.9 85.1 3.5 59.9 395.0 6,569.9 3,650.6 1,502.2 4,065.9 979.0 619.7 1,153.2 284.7 5,888.9 17.4 1,670.9 8,205.1 45.1 4,064.9 YTD102 Return 15.0% 48.3% 25.1% 21.3% -11.5% 68.9% 18.9% -2.2% -17.2% 41.3% -27.5% -5.0% -6.6% 11.4% 11.0% -40.6% -11.4% 38.2% 5.1% 22.1% 84.0% -1.2% 91.3% 6.1% 14.3% -1.9% 12.5% -48.0% 9.3% -7.4% 39.8% -59.7% -46.2% 98.3% 25.4% -8.5% 34.9% -4.3% 58.8% 9.1% 76.0% 54.4% 150.0% -86.7% 29.5% 51.1% -19.3% 30.3%
1. Represents IPO price or price on day of downgrade from investment grade to high yield if event occurred after December 31, 2009. 2. Represents percent change in price from December 31, 2009, or from date of IPO or date of downgrade to high yield when applicable, to October 29, 2010. Source: J.P. Morgan. A106

Issuer Braskem SA Celanese Holdings CF Industries Chemtura Compass Minerals International Inc Ferro Corp Georgia Gulf Huntsman Corp Koppers Industries KRATON Polymers LyondellBasell Industries NV Methanex Nalco NewMarket Corp Olin Corp Omnova Solutions PolyOne Rockwood Specialties Solutia Sterling Chemicals Tronox Worldwide Westlake Chemical Consumer Products Acco Brands Corp American Greetings Blyth Inc Brunswick Corp Central Garden & Pet Church & Dwight Eastman Kodak Elizabeth Arden Hanesbrands Jarden Corp Jones Apparel Libbey Glass Oxford Industries Perry Ellis International Phillips Van-Heusen Prestige Brands Quiksilver Inc Revlon Inc Scotts Miracle-Gro Company Sealy Mattress Spectrum Brands Steinway Musical Instruments Unifi Diversified Media Cenveo Inc Dex One Corporation Gannett Interpublic Group Lions Gate Ticker BAK CE CF CEMJQ CMP FOE GGC HUN KOP KRA LYB MEOH NLC NEU OLN Omn POL ROC SOA SCHI TRXAQ WLK ABD AM BTH BC CENT CHD EK RDEN HBI JAH JNY LBY OXM PERY PVH PBH ZQK REV SMG ZZ SPB LVB UFI CVO DEXO GCI IPG LGF 52 Week High Low 22.23 39.40 130.00 1.78 82.75 15.50 21.79 14.61 33.56 34.85 29.10 30.08 30.50 126.89 22.39 8.73 13.99 37.67 22.05 18.00 1.45 38.30 9.47 26.21 59.93 22.89 11.85 70.14 9.08 23.74 31.45 35.11 24.72 15.25 25.62 26.87 68.18 11.75 6.09 19.87 54.99 4.24 31.60 20.76 15.93 11.60 35.00 19.69 12.25 7.84 10.17 23.47 57.56 0.28 62.79 5.95 11.11 8.17 19.77 12.76 14.86 17.36 20.15 81.80 14.35 5.09 6.50 20.20 10.16 1.50 0.12 17.34 4.63 17.05 25.91 9.78 8.28 57.50 3.49 13.69 20.95 25.50 13.05 6.01 15.00 12.79 38.25 6.70 1.63 9.61 37.50 2.30 21.05 13.45 8.37 4.80 6.30 9.63 6.09 4.81 Price 31-Dec-091 29-Oct-10 16.41 35.65 83.67 1.23 67.19 7.37 17.38 11.29 30.44 13.56 22.30 19.49 25.51 114.77 17.52 7.98 7.47 23.56 12.70 7.00 0.39 24.93 7.28 21.79 32.61 12.71 10.70 60.45 4.22 14.43 24.11 30.91 16.06 7.65 20.68 15.06 40.68 7.86 2.02 17.01 39.31 3.16 22.50 15.91 11.64 8.75 27.92 14.85 7.38 5.81 20.85 35.65 122.53 0.37 78.87 13.72 20.23 13.85 27.88 32.46 26.86 27.77 28.18 118.52 19.99 7.98 12.92 33.92 18.11 3.50 0.65 31.96 6.23 19.37 40.12 15.81 10.35 65.85 4.70 20.43 24.80 32.06 14.46 13.29 23.03 22.48 61.34 10.75 4.17 11.42 53.40 2.63 28.35 17.01 14.19 5.50 7.01 11.85 10.35 7.23 Shares (mn) 174.5 155.7 71.1 242.9 32.8 86.2 34.0 239.2 20.6 31.3 332.3 92.2 138.3 14.3 79.6 44.9 93.5 75.6 121.8 2.8 18.6 66.2 54.9 37.2 8.2 88.7 16.8 71.1 268.9 28.1 95.8 91.9 87.2 19.7 16.6 14.1 66.4 50.0 163.9 48.8 67.0 97.5 51.0 11.6 20.1 62.7 50.0 238.9 488.7 136.6 Market Cap ($ mn) 3,638.4 5,549.4 8,715.4 89.9 2,587.0 1,182.4 687.1 3,313.1 573.4 1,014.5 8,926.3 2,561.3 3,898.3 1,693.8 1,590.3 358.4 1,208.6 2,565.9 2,205.4 9.9 12.1 2,115.3 342.0 720.0 330.2 1,401.7 174.1 4,684.1 1,264.4 575.1 2,375.3 2,945.5 1,260.5 261.5 381.4 317.2 4,070.1 538.0 683.6 557.0 3,575.5 256.4 1,446.4 196.9 284.6 345.0 350.7 2,831.3 5,058.4 987.7 YTD102 Return 27.1% 0.0% 46.4% -69.9% 17.4% 86.2% 16.4% 22.7% -8.4% 139.4% 20.4% 42.5% 10.5% 3.3% 14.1% 0.0% 73.0% 44.0% 42.6% -50.0% 66.7% 28.2% -14.4% -11.1% 23.0% 24.4% -3.3% 8.9% 11.4% 41.6% 2.9% 3.7% -10.0% 73.7% 11.4% 49.3% 50.8% 36.8% 106.4% -32.9% 35.8% -16.8% 26.0% 6.9% 21.9% -37.1% -74.9% -20.2% 40.2% 24.4%

Issuer McClatchy MDC Communications Media General New York Times Scholastic Corp Valassis Communications Warner Music Group Energy Allis-Chalmers Energy Alon Refining Krotz Springs AmeriGas Partners Anadarko Petroleum Atlas Energy Resources Atlas Pipeline Partners ATP Oil & Gas Basic Energy Services Berry Petroleum Co Bill Barrett Corp BreitBurn Energy Partner Brigham Exploration Bristow Group Chart Industries Cheniere Energy Inc Chesapeake Energy Cie Generale de Geophysique-Veritas Cimarex Clayton William Energy Coffeyville Resources Complete Production Service Comstock Resources Concho Resources Continental Resources Copano Energy Crosstex Energy Delta Petroleum Denbury Resources Dresser-Rand Group Dune Energy Inc El Paso Energy Transfer Equity Energy XXI Gulf Coast Exco Resources Ferrellgas Forest Oil Frontier Oil Geokinetics Global Geophysical Services Gulfmark Offshore Helix Energy Solutions Hercules Offshore Holly Corp Ticker mnI MDCA MEG NYT SCHL VCI WMG ALY ALJ APU APC ATLS APL ATPG BAS BRY BBG BBEP BEXP BRS GTLS LNG CHK CGV XEC CWEI CVI CPX CRK CXO CLR CPNO XTEX DPTR DNR DRC DUNR EP ETE EXXI XCO FGP FST FTO GOK GGS GLF HLX HERO HOC 52 Week High Low 7.16 2.41 14.15 8.20 13.60 4.35 14.87 7.06 31.50 22.21 38.43 14.32 8.02 4.00 5.98 8.08 48.18 75.07 44.37 24.82 23.97 13.46 39.25 39.93 20.89 25.75 43.09 26.43 5.40 29.22 33.39 83.25 74.00 11.92 29.13 44.52 80.07 52.53 30.00 14.66 1.95 19.83 39.99 0.55 13.96 40.46 26.80 22.52 27.19 35.61 15.70 13.22 12.47 35.66 17.00 5.85 34.89 1.79 4.77 35.00 34.54 24.32 7.04 8.16 6.50 24.27 26.78 9.85 10.01 28.32 13.85 1.80 19.62 16.42 44.63 26.39 6.50 9.28 19.54 40.19 36.25 19.00 5.25 0.67 12.78 27.42 0.08 8.94 27.25 7.50 13.25 19.05 17.15 11.03 3.55 5.86 23.27 8.38 2.05 23.32 Price 31-Dec-091 29-Oct-10 3.54 2.76 8.34 13.89 8.18 5.51 12.36 7.67 29.83 29.44 18.26 33.00 5.66 5.20 3.77 6.84 39.33 57.05 30.14 9.81 18.23 8.90 29.15 31.11 19.45 13.55 38.45 16.52 2.42 25.88 21.25 52.97 35.03 8.75 13.00 40.57 44.90 42.89 23.91 9.48 1.04 14.80 31.61 0.23 9.83 37.12 11.55 21.23 21.13 22.25 12.04 9.62 12.00 28.31 11.75 4.78 25.63 5.14 5.67 46.48 61.57 29.15 19.79 14.35 11.06 34.21 37.75 19.45 21.10 38.78 23.30 3.28 21.68 23.29 76.75 59.72 9.52 23.43 22.35 68.67 47.53 27.96 13.99 0.73 17.02 34.22 0.17 13.26 39.11 21.72 14.83 26.10 30.74 13.25 6.82 7.17 29.61 12.69 2.36 32.73 Shares (mn) 60.2 28.6 22.5 145.1 34.4 49.7 155.0 73.4 54.2 57.1 495.6 78.4 53.3 51.3 41.3 53.0 46.4 53.3 116.9 36.2 28.7 57.6 653.9 151.4 84.7 12.2 86.3 77.9 47.3 99.9 170.0 65.8 50.2 285.2 399.7 80.5 40.3 704.1 222.9 69.0 212.3 69.5 113.4 105.7 17.7 36.0 26.2 105.5 114.8 53.2 Market Cap ($ mn) 166.0 397.8 124.1 1,112.8 1,011.4 1,638.6 805.7 377.4 307.2 2,653.5 30,513.6 2,286.1 1,055.1 735.9 456.3 1,814.2 1,751.9 1,036.8 2,466.2 1,404.9 668.7 189.1 14,176.9 3,526.5 6,500.8 725.8 822.0 1,825.2 1,057.5 6,859.0 8,082.1 1,838.5 702.4 208.8 6,802.5 2,756.2 6.7 9,336.9 8,719.2 1,499.7 3,148.5 1,815.2 3,485.4 1,400.8 120.7 258.4 775.7 1,338.2 270.9 1,741.6 YTD102 Return -22.0% 66.5% -32.6% -37.9% -1.3% 80.7% -8.1% 36.3% -17.1% 18.2% 7.9% -3.3% 101.7% -21.3% 24.3% 17.4% 21.3% 0.0% 55.7% 0.9% 41.0% 35.5% -16.2% 9.6% 44.9% 70.5% 8.8% 80.2% -44.9% 52.9% 10.8% 16.9% 47.6% -29.6% 15.0% 8.3% -26.7% 34.9% 5.4% 88.1% -30.1% 23.5% 38.2% 10.0% -29.1% -40.3% 4.6% 8.0% -50.6% 27.7%

Issuer Holly Energy Partners Hornbeck Offshore Services Inergy Key Energy Linn Energy LLC Mariner Energy Markwest Energy Partners Martin Midstream Partners McMoRan Exploration Newfield Exploration Niska Gas Storage US/Canada Parker Drilling Penn Virginia Petrobras Energia SA Petrohawk Energy Corp Petroleum Development Corporation PetroQuest Energy Inc PHI Inc Pioneer Drilling Company Pioneer Natural Resource Plains Exploration & Production Pride International QEP Resources Quicksilver Resources Range Resources Regency Energy Partners Repsol YPF SA Rosetta Resources Sandridge Energy SEACOR Holdings Southwestern Energy Star Gas Partners Stone Energy Suburban Propane Partners Superior Energy Services Inc Swift Energy Targa Resources Tesoro Corp Vantage Drilling Venoco W&T Offshore Western Refining Whiting Petroleum Williams Companies Finanacial Advanta Capital Trust I Aircastle Ltd Ambac Financial American Capital American International Group CapitalSource CB Richard Ellis Service Ticker HEP HOS NRGY KEG LINE ME MWE MMLP MMR NFX NKA PKD PVA PZE HK PETD PQ PHII PDC PXD PXP PDE QEP KWK RRC RGNC YPF ROSE SD CKH SWN SGU SGY SPH SPN SFY NGLS TSO VTG VQ WTI WNR WLL WMB ADVNQ AYR ABKFQ ACAS AIG CSE CBG 52 Week High Low 53.74 36.26 26.14 12.63 43.95 30.35 11.54 7.07 37.24 12.60 26.72 11.35 43.33 20.96 35.99 25.51 19.80 6.77 66.70 39.26 20.50 17.01 5.85 3.43 29.25 13.38 20.83 12.44 27.36 13.89 38.75 16.46 8.84 4.70 24.10 13.15 9.90 5.00 78.46 39.13 36.60 19.28 34.36 21.51 37.00 27.90 16.59 10.53 54.65 32.25 26.58 18.70 45.99 33.70 33.60 14.68 11.08 3.87 103.50 67.01 52.82 30.61 5.84 3.71 20.63 10.30 57.24 39.16 30.15 18.02 38.65 21.05 31.39 19.35 15.33 10.40 1.98 0.99 21.70 10.36 16.63 8.15 8.75 4.01 109.12 59.30 24.66 17.53 0.09 12.38 3.39 7.72 44.51 6.63 20.40 0.00 7.45 0.02 2.31 22.16 3.62 10.54 Price 31-Dec-091 29-Oct-10 39.84 50.25 23.28 22.24 35.68 39.26 8.79 9.85 27.88 34.99 11.61 24.92 29.27 38.12 31.09 34.39 8.02 16.84 48.23 59.62 20.50 19.94 4.95 4.23 21.29 14.82 15.63 17.99 23.99 16.99 18.21 31.26 6.13 5.58 21.14 16.82 7.04 6.16 48.17 69.80 27.66 27.87 31.91 30.32 30.83 33.03 15.01 14.97 49.85 37.39 20.95 25.33 43.75 39.84 24.90 23.91 9.43 5.47 76.25 94.75 48.20 33.84 4.14 4.93 18.05 15.63 47.08 54.50 24.29 27.62 23.96 31.85 24.31 29.64 13.55 12.96 1.61 1.72 13.04 15.48 11.70 10.88 4.71 6.65 71.45 100.44 21.08 21.51 0.05 7.85 0.83 2.44 29.98 3.97 13.57 0.01 9.21 0.83 6.98 42.01 6.11 18.35 Shares (mn) 22.1 26.5 114.0 141.4 147.4 103.3 71.4 17.7 95.5 133.9 33.8 116.2 45.5 101.0 302.4 19.3 63.2 2.9 54.2 116.1 140.1 175.7 175.6 170.3 160.1 137.2 393.3 52.7 404.6 21.2 346.8 68.3 48.5 35.4 78.8 41.6 75.5 143.2 289.1 55.7 74.6 88.3 58.5 584.8 14.4 79.5 302.1 341.3 698.0 323.3 322.9 Market Cap ($ mn) 1,109.4 588.2 4,477.2 1,393.1 5,158.2 2,573.4 2,723.3 609.0 1,607.8 7,981.7 674.1 491.6 675.0 1,816.3 5,137.9 602.5 352.6 48.0 333.7 8,103.5 3,904.6 5,328.0 5,800.8 2,549.6 5,985.1 3,475.7 15,669.6 1,260.0 2,213.3 2,012.7 11,735.1 336.6 758.6 1,928.4 2,176.9 1,326.1 2,239.2 1,855.4 497.3 861.6 811.9 587.2 5,880.7 12,578.5 0.1 731.9 249.7 2,382.0 29,323.4 1,975.2 5,925.1 YTD102 Return 26.1% -4.5% 10.0% 12.1% 25.5% 114.6% 30.2% 10.6% 110.0% 23.6% -2.7% -14.5% -30.4% 15.1% -29.2% 71.7% -9.0% -20.4% -12.5% 44.9% 0.8% -5.0% 7.1% -0.3% -25.0% 20.9% -8.9% -4.0% -42.0% 24.3% -29.8% 19.1% -13.4% 15.8% 13.7% 32.9% 21.9% -4.4% 6.8% 18.7% -7.0% 41.2% 40.6% 2.0% -85.6% 17.3% -0.4% 186.1% 40.1% 53.9% 35.2%

Issuer CIT Group Colonial Bank Colonial Realty Credit Acceptance Corp Developers Diversified Realty Discover Financial Services Dollar Financial Group Entertainment Properties Trust E-Trade Financial Fidelity National Information Services First Citizens Bancorporation First Citizens BancShares First Industrial LP Forest City Enterprises General Growth Properties Huntington National Bank Icahn Enterprises LP iStar Financial Janus Capital Group Lazard Group LLC Leucadia National MBIA MGIC Investment Corp Penson Worldwide Phoenix Life Insurance PMI Group Popular North America Radian Group SL Green Realty Corp SLM Corp Susquehanna Bancshares Synovus Financial Thornburg Mortgage Washington Mutual Bank Western Alliance Bancorp Wilmington Trust Food and Beverages Alliance One International B&G Foods Brinker International Carrols CEDC Finance Corp. International Chiquita Brands International Constellation Brands Dean Foods Del Monte DineEquity Inc Dole Food Landrys Restaurants O Charleys Reddy Ice Smithfield Foods Ticker CIT CBCGQ CLP CACC DDR DFS DLLR EPR ETF FIS FCBN FCNCA FR FCE/A GGP HBAN IEP SFI JNS LAZ LUK MBI MTG PNSN PNX PMI BPOP RDN SLG SLM SUSQ SNV THMRQ WAMUQ WAL WL AOI BGS EAT TAST CEDC CQB STZ DF DLM DIN DOLE LNY CHUX FRZ SFD 52 Week High Low 44.10 0.07 19.79 63.45 14.39 19.16 27.21 49.73 19.90 30.78 540.00 213.99 9.33 16.43 16.08 7.40 51.65 7.82 15.72 41.25 28.37 13.17 13.80 10.54 3.83 7.75 4.23 18.68 70.89 13.96 12.03 3.92 0.02 0.70 9.64 20.23 5.96 12.92 21.12 8.02 39.95 19.59 20.42 18.79 16.14 52.29 12.78 25.56 10.00 6.12 21.48 24.83 0.01 10.27 33.21 8.11 12.11 14.90 30.25 11.15 22.13 400.00 149.62 3.69 10.11 3.33 3.59 10.28 2.34 8.63 25.70 18.80 3.22 3.90 4.37 1.61 1.81 1.70 4.19 42.30 9.85 5.43 1.45 0.00 0.04 3.45 3.95 3.17 5.00 13.23 4.00 20.44 11.49 14.60 7.41 8.92 19.97 8.57 17.68 4.38 2.04 13.34 Price 31-Dec-091 29-Oct-10 27.61 0.01 11.73 40.17 9.26 14.71 23.64 38.07 17.60 26.82 490.00 164.01 5.23 11.78 11.56 3.65 39.95 2.56 13.45 37.97 23.79 3.98 5.78 6.76 2.78 2.52 2.26 7.31 50.24 11.27 5.89 2.05 0.01 0.14 6.12 11.09 4.88 9.18 14.92 7.07 28.41 18.04 15.93 18.04 11.34 44.39 12.41 21.29 6.55 4.29 15.19 43.33 0.01 17.93 58.81 12.92 17.65 25.02 46.23 14.30 27.10 514.00 186.44 7.33 14.59 13.33 5.66 34.60 4.57 10.56 36.90 25.42 11.21 8.82 5.15 2.10 3.34 2.73 7.59 65.71 11.90 7.91 2.16 0.01 0.17 6.04 7.11 4.42 12.25 18.54 6.76 24.97 13.27 19.73 10.40 14.34 44.39 9.22 24.51 7.50 3.49 16.75 Shares (mn) 200.3 202.7 77.7 27.1 256.2 544.6 24.4 46.5 220.8 301.0 0.9 8.8 63.8 135.7 937.0 717.1 84.7 92.3 183.7 119.3 243.3 199.9 200.4 28.4 116.1 161.2 1,022.7 132.9 78.3 485.6 129.8 785.1 423.4 1,705.4 81.5 91.5 87.1 47.6 92.3 21.6 70.7 45.2 187.7 182.2 193.7 18.0 88.2 0.0 21.8 22.9 166.0 Market Cap ($ mn) 8,676.8 2.6 1,392.9 1,596.2 3,309.6 9,612.0 610.6 2,151.4 3,157.7 8,156.0 443.3 1,632.6 467.4 1,979.7 12,492.4 4,059.0 2,931.6 421.9 1,940.4 4,401.7 6,185.1 2,240.4 1,768.0 146.2 243.8 538.7 2,791.9 1,009.0 5,142.1 5,778.5 1,026.4 1,695.8 4.2 284.8 492.4 650.4 384.9 583.5 1,711.5 146.2 1,765.0 599.6 3,702.5 1,894.7 2,777.8 800.0 813.5 0.0 163.3 80.1 2,780.7 YTD102 Return 56.9% -11.0% 52.9% 46.4% 39.5% 20.0% 5.8% 21.4% -18.8% 1.0% 4.9% 13.7% 40.2% 23.9% 15.3% 55.1% -13.4% 78.5% -21.5% -2.8% 6.9% 181.7% 52.6% -23.8% -24.5% 32.6% 20.8% 3.8% 30.8% 5.6% 34.3% 5.4% 11.1% 19.7% -1.3% -35.9% -9.4% 33.4% 24.3% -4.4% -12.1% -26.4% 23.9% -42.4% 26.5% 0.0% -25.7% 15.1% 14.5% -18.6% 10.3%

Issuer Treehouse Foods Tyson Foods Universal Corp Vector Group Viskase Companies Wendys International Gaming Lodging and Leisure Ameristar Casino Inc Boyd Gaming Cedar Fair Cinemark USA Felcor Lodging Gaylord Entertainment Global Cash Access Great Wolf Resorts Operating Partnership Host Hotels & Resorts Isle of Capri Casinos Las Vegas Sands Live Nation Entertainment MCE Finance MGM Mirage MTR Gaming Group Penn National Gaming Pinnacle Entertainment Regal Cinemas Royal Caribbean Cruises Scientific Games Speedway Motorsports Starwood Hotels & Resorts Town Sports International Vail Resorts Wyndham Worldwide Wynn Resorts Ltd Healthcare Alere Alliance Healthcare Services Angiotech Pharmaceutical Bio-Rad Laboratories BioScrip Boston Scientific Centene Corp Community Health Systems Cooper Companies Coventry Health Care Davita Elan Pharmaceuticals Gentiva Health Services Hanger Orthopedic Group Health Management Associates Health Net Healthsouth Invacare Corp Ticker THS TSN UVV VGR VKSC WEN ASCA BYD FUN CNK FCH GET GCA WOLF HST ISLE LVS LYV MPEL MGM MNTG PENN PNK RGC RCL SGMS TRK HOT CLUB MTN WYN WYNN ALR AIQ ANPI BIO BIOS BSX CNC CYH COO CVH DVA ELN GTIV HGR HMA HNT HLS IVC 52 Week High Low 51.05 33.00 20.57 11.94 56.21 35.36 19.81 12.86 5.00 1.60 5.55 3.83 20.69 14.85 15.80 19.80 8.99 34.90 9.26 3.75 17.21 12.76 55.47 16.90 7.13 16.66 2.41 35.78 14.57 18.49 43.31 17.01 18.17 60.00 4.24 49.00 30.83 117.50 44.87 6.30 1.43 125.01 9.84 9.79 25.95 42.30 51.32 27.27 73.79 8.24 30.88 19.97 9.81 29.75 22.22 30.31 13.44 6.70 6.82 12.14 3.15 16.75 2.74 1.78 9.75 6.59 14.87 6.83 3.26 8.92 1.14 22.35 7.07 11.59 21.97 7.33 12.80 30.72 1.89 32.37 18.05 58.21 25.36 3.32 0.20 80.00 4.01 5.04 17.60 25.63 31.02 16.61 56.40 4.25 18.93 13.01 6.00 12.90 16.20 19.58 Price 31-Dec-091 29-Oct-10 43.03 46.70 12.27 15.55 45.61 41.44 14.00 18.70 3.10 4.80 4.69 4.60 15.23 8.37 13.50 14.37 3.60 19.75 7.49 3.21 11.67 7.48 14.94 15.69 4.29 9.12 1.30 27.19 8.98 14.44 25.28 14.55 17.62 36.57 2.33 37.80 20.17 58.23 27.97 5.71 1.24 96.46 7.99 9.00 21.17 35.60 38.12 24.29 58.74 6.52 20.55 13.83 7.27 23.29 18.77 24.94 17.90 8.31 13.97 17.55 6.15 33.34 3.64 2.35 15.89 8.04 45.88 9.49 6.27 10.93 1.93 33.19 12.80 13.50 39.54 7.92 15.30 54.14 3.01 40.56 28.75 107.16 29.55 3.94 0.51 90.62 5.63 6.39 22.32 30.08 49.34 23.42 71.75 5.45 23.28 18.72 8.01 26.89 18.07 27.00 Shares (mn) 35.4 307.4 23.8 74.9 29.5 418.4 58.2 86.2 55.3 113.4 97.0 47.6 64.9 32.5 665.9 32.7 684.7 173.6 531.9 482.4 27.5 78.0 61.4 130.6 215.2 91.6 41.7 190.7 22.7 35.9 175.0 123.9 84.8 52.8 85.2 22.6 53.7 1,520.1 51.7 92.5 45.7 148.5 97.2 585.1 29.9 32.5 250.6 95.6 93.4 31.3 Market Cap ($ mn) 1,653.2 4,780.6 986.0 1,400.8 141.4 1,924.5 1,042.5 716.6 773.0 1,990.9 596.9 1,586.7 236.1 76.3 10,581.7 263.3 31,415.4 1,647.2 3,334.8 5,272.3 53.0 2,589.5 786.1 1,762.7 8,510.0 725.5 637.9 10,321.8 68.2 1,456.6 5,030.3 13,282.1 2,507.3 208.1 43.2 2,049.5 302.3 9,713.3 1,154.3 2,783.8 2,253.1 3,477.6 6,974.1 3,188.6 695.5 608.0 2,007.5 2,569.4 1,688.6 845.6 YTD102 Return 8.5% 26.7% -9.1% 33.6% 54.8% -1.9% 17.5% -0.7% 3.5% 22.1% 70.8% 68.8% -51.4% -26.8% 36.2% 7.5% 207.1% -39.5% 46.2% 19.8% 48.5% 22.1% 42.5% -6.5% 56.4% -45.6% -13.2% 48.0% 29.2% 7.3% 42.5% 84.0% 5.6% -31.0% -59.1% -6.1% -29.5% -29.0% 5.4% -15.5% 29.4% -3.6% 22.1% -16.4% 13.3% 35.4% 10.2% 15.5% -3.7% 8.3%

Issuer Life Technologies Lifepoint Hospitals Holdings Merge Healthcare Mylan Inc Omega Healthcare Investors Omnicare Owens & Minor PDL BioPharma Prospect Medical Psychiatric Solutions Radnet Management Res-Care Rotech Healthcare Rural/Metro Sabra Healthcare REIT Inc Skilled Healthcare Group Talecris Biotherapeutics Tenet Healthcare Universal Health Services Valeant Pharmaceuticals Warner Chilcott Housing Beazer Homes USA CEMEX D.R. Horton Desarrolladora Homex Gibraltar Industries Inc Hovnanian Enterprises Interface KB Home Lennar Corp M/I Schottenstein Homes Masco Corp Meritage Corporation Mohawk Industries Nortek Owens Corning Pulte Home Ryland Group Standard Pacific Technical Olympic USA Inc Texas Industries Toll Brothers USG Industrials Actuant Alliant Techsystems Altra Holdings American Railcar Industries Anixter International Baldor Electric BE Aerospace Ticker LIFE LPNT MRGE MYL OHI OCR OMI PDLI PZZ PSYS RDNT RSCR ROHI RURL SBRA SKH TLCR THC UHS VRX WCRX BZH CX DHI HXM ROCK HOV IFSIA KBH LEN MHO MAS MTH MHK NTKS OC PHM RYL SPF TOUSQ TXI TOL USG ATU ATK AIMC ARII AXE BEZ BEAV 52 Week High Low 56.19 41.10 39.61 28.48 4.25 1.92 23.63 16.55 23.95 17.00 30.63 19.14 32.80 25.52 6.35 4.54 8.81 3.60 33.72 19.25 4.20 1.80 13.85 8.59 3.65 0.35 11.00 5.08 19.10 12.01 8.23 1.43 24.63 15.70 6.46 3.92 43.80 27.59 27.40 12.94 25.32 15.19 7.08 12.12 15.44 39.22 18.28 8.05 15.90 20.13 21.79 18.00 18.78 25.44 66.93 46.00 37.36 13.91 26.03 7.10 0.03 40.86 23.67 25.59 23.97 90.81 16.60 19.49 59.38 44.93 38.94 3.10 7.46 9.41 23.06 7.36 3.40 7.05 9.43 11.56 8.85 9.94 15.19 39.84 39.00 22.56 6.66 14.62 2.95 0.00 27.28 15.57 11.21 15.76 60.13 9.81 8.76 36.18 24.67 18.92 Price 31-Dec-091 29-Oct-10 50.76 50.18 32.53 33.92 2.48 3.34 19.44 20.32 19.45 23.00 24.18 24.12 28.62 28.48 5.13 5.22 4.25 8.44 21.14 33.70 3.68 2.16 11.20 13.23 0.37 1.51 6.00 8.62 16.49 17.11 7.45 3.75 22.27 24.52 5.39 4.36 38.86 41.27 13.96 26.55 22.44 23.98 4.84 11.37 10.87 33.62 15.73 3.84 8.31 13.68 12.77 10.39 13.81 19.33 47.60 42.00 25.64 10.00 19.70 3.74 0.02 34.99 18.81 14.05 18.53 88.27 12.35 11.02 47.10 28.09 23.50 4.06 8.77 10.43 33.58 9.13 3.56 14.39 10.51 14.51 10.58 10.66 18.31 57.34 41.68 27.04 7.85 14.98 3.63 0.00 34.17 17.94 12.68 22.47 76.24 14.80 15.41 53.69 42.02 36.76 Shares (mn) 186.7 52.7 83.3 435.2 98.5 116.3 63.3 139.7 21.2 57.3 37.0 29.4 25.6 25.3 24.9 20.8 125.3 485.5 89.9 295.3 252.5 75.7 1,000.0 318.3 56.0 30.3 63.1 57.0 88.0 153.7 18.5 358.5 32.1 68.6 15.0 124.7 382.2 44.1 107.2 59.6 27.8 165.9 102.9 68.2 33.3 26.8 21.3 33.9 47.0 102.3 Market Cap ($ mn) 9,370.0 1,787.6 278.2 8,841.5 2,265.2 2,804.7 1,803.8 729.1 178.8 1,930.5 79.9 389.2 38.7 218.3 426.5 78.0 3,073.0 2,116.9 3,710.5 7,839.3 6,053.8 307.2 8,770.1 3,320.0 1,879.5 276.6 224.7 820.7 925.4 2,229.6 196.0 3,821.6 588.2 3,933.6 625.2 3,370.7 3,000.5 660.9 389.1 0.1 950.2 2,975.9 1,304.4 1,531.6 2,538.9 396.0 328.3 1,822.3 1,976.7 3,759.1 YTD102 Return -1.1% 4.3% 34.7% 4.5% 18.3% -0.2% -0.5% 1.8% 98.6% 59.4% -41.3% 18.1% 308.1% 43.7% 3.7% -49.7% 10.1% -19.1% 6.2% 90.2% 6.9% -16.1% -22.8% -4.0% -0.1% -42.0% -7.3% 73.2% -23.2% 13.6% 1.8% -22.8% -5.3% 20.5% -0.8% 5.5% -21.5% -24.0% -2.9% -87.5% -2.3% -4.6% -9.8% 21.3% -13.6% 19.8% 39.8% 14.0% 49.6% 56.4%

Issuer Belden CDT CNH Global NV Coleman Cable Columbus McKinnon Commercial Vehicle Communications & Power Industries Esterline Technologies Gardner Denver GenCorp General Cable Greenbrier Companies Hawk Hexcel Interline Brands International Wire Group Kratos Defense & Security Solutions L-3 Communications Manitowoc ManTech International Moog Mueller Water Products Navistar International Ormat Funding Oshkosh Corporation Park-Ohio Industries Polypore Spirit Aerosystems SPX Terex Thermadyne Holdings Titan International Transdigm Trimas Corp Trinity Industries Triumph Group Tutor Perini Valmont Industries Wabtec Corp WESCO Distribution Metals and Mining AK Steel Alpha Natural Resources Arch Coal Inc Century Aluminum Cloud Peak Energy Consol Energy Headwaters Incorporated International Coal James River Coal Co Massey Energy Metals USA Patriot Coal Ticker BDC CNH CCIX CMCO CVGI CPII ESL GDI GY BGC GBX HWK HXL IBI ITWG KTOS LLL MTW MANT MOG/A MWA NAV ORA OSK PKOH PPO SPR SPW TEX THMD TWI TDG TRS TRN TGI TPC VMI WAB WCC AKS ANR ACI CENX CLD CNX HW ICO JRCC MEE MUSA PCX 52 Week High Low 32.79 20.18 45.54 21.56 7.93 3.00 19.26 12.35 16.32 4.69 16.20 9.27 64.19 36.75 64.13 36.52 9.12 3.45 34.33 21.68 20.18 7.42 50.26 15.55 19.53 9.86 22.20 15.43 15.50 5.18 15.56 9.27 97.81 66.11 16.43 8.48 51.83 34.69 40.21 25.60 5.99 2.21 58.00 31.53 44.13 25.80 44.57 24.63 19.75 4.01 36.99 11.34 24.00 16.23 72.27 50.80 28.71 16.79 15.26 6.07 16.88 7.15 69.14 40.40 18.00 4.49 27.09 14.95 90.31 46.99 24.39 14.90 88.08 65.30 50.88 36.16 47.10 25.30 26.75 55.70 30.65 18.77 22.20 58.00 6.84 6.57 22.94 54.80 21.52 24.25 11.34 32.00 19.09 8.25 12.53 31.08 2.63 3.36 14.44 25.85 10.96 9.76 Price 31-Dec-091 29-Oct-10 21.92 27.90 24.98 39.69 3.40 7.14 13.67 17.56 5.99 13.43 13.24 14.12 40.77 60.44 42.55 57.82 7.00 4.87 29.42 27.94 10.38 18.20 17.61 49.83 12.98 17.77 17.27 20.09 10.04 11.88 12.26 11.40 86.95 72.18 9.97 11.14 45.08 39.25 29.23 37.60 5.20 3.02 38.65 48.18 37.84 28.51 40.34 29.51 5.65 15.89 11.90 33.27 19.86 21.64 54.70 67.06 19.81 22.45 7.27 15.08 8.11 15.17 47.49 66.27 6.77 15.83 17.44 22.73 48.25 83.59 22.22 22.22 78.45 78.85 40.84 46.84 27.01 42.82 21.35 43.38 22.25 16.19 14.56 49.80 6.52 3.86 18.49 42.01 21.00 16.67 12.59 45.17 24.59 13.52 17.37 36.76 3.40 5.62 17.28 42.07 11.96 13.49 Shares (mn) 46.9 238.7 17.3 19.2 28.5 16.8 30.1 52.5 59.0 52.1 21.9 7.8 97.3 33.1 9.9 18.6 113.2 131.4 23.1 41.3 154.6 71.7 45.4 90.5 11.8 44.5 107.1 50.2 108.9 13.6 35.4 49.4 34.0 79.8 24.2 47.1 26.4 47.9 42.5 110.0 120.4 162.5 92.7 31.5 225.8 60.4 203.8 27.8 102.1 37.0 91.0 Market Cap ($ mn) 1,309.6 9,474.0 123.8 336.6 383.4 237.4 1,817.8 3,034.4 287.3 1,456.0 398.2 386.6 1,728.2 664.6 117.4 211.6 8,169.8 1,463.2 906.7 1,551.0 466.8 3,454.6 1,295.2 2,671.5 187.8 1,482.0 2,318.5 3,366.5 2,444.8 204.4 536.3 3,276.9 538.8 1,812.7 2,022.9 1,046.3 2,077.7 2,245.6 1,819.1 1,384.8 5,437.5 3,995.4 1,253.9 546.8 8,302.0 205.5 1,145.4 480.1 4,296.4 442.8 1,227.5 YTD102 Return 27.3% 58.9% 110.0% 28.5% 124.2% 6.6% 48.2% 35.9% -30.4% -5.0% 75.3% 183.0% 36.9% 16.3% 18.3% -7.0% -17.0% 11.7% -12.9% 28.6% -41.9% 24.7% -24.7% -26.8% 181.2% 179.6% 9.0% 22.6% 13.3% 107.4% 87.1% 39.5% 133.8% 30.3% 73.2% 0.0% 0.5% 14.7% 58.5% -41.0% 4.1% 10.5% -16.5% 19.3% -26.2% -47.9% 45.6% -6.5% 0.1% -43.0% -19.1%

Issuer Peabody Energy Penn Virginia Resource Partners Steel Dynamics United States Steel Corp Paper and Packaging AbitibiBowater AEP Industries Ball Boise Paper Holdings Cellu Tissue Holdings Clearwater Paper Crown Americas Inc Domtar Corp Graphic Packaging Greif Bros Louisiana-Pacific MeadWestvaco Corp Mercer International Neenah Paper Owens-Illinois Inc PH Glatfelter Potlatch Rock-Tenn Co Sealed Air Silgan Holdings Temple-Inland Inc Verso Paper Holdings Weyerhaeuser Retail Blockbuster Bon-Ton Brown Shoe Company Collective Brands Inc Dillards Dollar General Ethan Allen Express Foot Locker GameStop Corp Great Atlantic & Pacific Tea HSN Ingles Markets JC Penney Liberty Media Corp Limited Brands Macys Retail Holdings Netflix Office Depot Pantry Rite Aid Sally Beauty Ticker BTU PVR STLD X ABWTQ AEPI BLL BZ CLU CLW CCK UFS GPK GEF LPX MWV MERC NP OI GLT PCH RKT SEE SLGN TIN VRS WY BLOAQ BONT BWS PSS DDS DG ETH EXPR FL GME GAP HSNI IMKTA JCP LBTYA LTD M NFLX ODP PTRY RAD SBH 52 Week High Low 59.92 34.89 28.65 10.01 20.47 12.89 70.95 36.93 0.60 42.50 66.26 7.73 13.00 85.25 32.91 83.98 4.10 61.31 13.44 29.74 7.00 21.95 37.97 15.49 41.76 59.02 24.20 34.99 25.03 5.76 19.85 0.83 18.63 19.96 26.65 32.52 31.41 25.40 19.10 16.76 26.05 13.00 34.66 19.99 34.50 40.86 32.37 26.03 184.74 9.19 24.44 1.77 13.13 0.01 20.03 46.70 4.20 7.32 29.24 22.45 46.24 2.51 46.01 5.83 20.81 2.30 12.57 24.92 10.01 28.12 37.25 18.43 25.83 15.48 2.05 12.52 0.04 6.08 9.87 12.41 14.01 21.30 11.00 12.89 9.46 17.12 2.50 17.27 13.01 19.42 18.75 15.65 15.34 48.52 3.36 12.00 0.86 6.87 Price 31-Dec-091 29-Oct-10 45.21 52.90 23.67 26.95 17.72 14.54 55.12 42.72 0.11 38.28 51.70 5.31 13.00 54.97 25.58 55.41 3.47 53.98 6.98 28.63 3.10 13.95 32.87 12.15 31.88 50.41 21.86 28.94 21.11 2.61 15.84 0.67 9.84 9.87 22.77 18.45 22.43 13.42 17.00 11.14 21.94 11.79 20.19 15.13 26.61 21.89 18.50 16.76 55.09 6.45 13.59 1.51 7.65 0.04 24.37 64.36 7.25 11.94 80.75 32.18 79.36 3.66 58.74 7.74 25.73 5.30 15.35 28.03 12.44 34.05 56.85 23.15 33.73 20.72 3.66 16.22 0.04 11.48 11.75 15.33 25.51 28.19 15.17 13.68 15.93 19.65 3.44 29.94 18.36 31.18 37.77 29.39 23.67 173.57 4.49 19.45 0.91 12.17 Shares (mn) 269.6 52.3 217.1 143.6 54.7 6.3 88.3 84.8 20.2 11.5 159.3 41.6 343.6 24.7 132.0 168.3 42.0 14.8 163.6 45.9 40.0 39.0 159.7 76.8 107.8 52.5 535.9 147.4 16.1 43.9 64.4 62.1 341.0 28.7 88.7 155.7 150.4 56.3 57.8 12.9 236.4 118.7 322.8 422.7 52.3 277.1 22.7 891.3 182.4 Market Cap ($ mn) 14,263.8 1,409.3 3,155.9 6,135.2 2.2 153.2 5,684.3 614.5 241.0 926.9 5,127.7 3,301.1 1,257.7 1,453.4 1,021.3 4,329.2 222.8 226.6 4,586.7 570.5 1,362.2 2,214.6 3,696.6 2,590.0 2,233.9 192.0 8,693.0 6.5 185.0 515.3 986.9 1,583.4 9,613.9 435.8 1,213.9 2,479.9 2,954.4 193.6 1,729.1 236.6 7,372.3 4,482.0 9,486.5 10,004.7 9,070.3 1,244.0 442.0 815.3 2,219.7 YTD102 Return 17.0% 13.9% -17.9% -22.5% -63.6% -36.3% 24.5% 36.5% -8.2% 46.9% 25.8% 43.2% 5.5% 8.8% 10.9% -10.1% 71.0% 10.0% -14.7% 2.4% 6.8% 12.8% 5.9% 16.6% -1.8% 40.2% 2.4% -93.4% 16.7% 19.0% -32.7% 38.3% 25.7% 13.0% -19.5% 43.0% -10.4% -70.8% 48.3% 21.3% 17.2% 72.5% 58.9% 41.2% 215.1% -30.4% 43.1% -39.4% 59.1%

Issuer Sears Holding SUPERVALU Inc Susser Holdings Services Cardtronics Inc Carriage Services Casella Waste Systems Clean Harbors Corrections Corp of America Deluxe Corp Dycom Industries Inc Education Management EnergySolutions Expedia FTI Consulting Geo Group Great Lakes Dredge & Dock H&E Equipment Iron Mountain M&F Worldwide Mac-Gray Corp Mobile Mini PHH RSC Equipment Rental Service Corporation International Sothebys Holdings Stewart Enterprises Stonemor Operating Stream Global Services United Rentals WCA Waste Corp Technology Advanced Micro Devices Alcatel-Lucent Amkor Technologies Avago Technologies Brocade Communication Systems Conexant Systems Dupont Fabros Technology Equinix Flextronics International Jabil Circuit JDA Software Group Kemet Lender Processing Services Motorola Inc Nortel Networks Sanmina Seagate Technology SS&C Technologies Syniverse Technologies Terremark Worldwide Ticker SHLD SVU SUSS CATM CSV CWST CLH CXW DLX DY EDMC ES EXPE FCN GEO GLDD HEES IRM MFW TUC MINI PHH RRR SCI BID STEI STON SGS URI WCAA AMD ALU AMKR AVGO BRCD CNXT DFT EQIX FLEX JBL JDAS KEM LPS MOT NRTLQ SANM STX SSNC SVR TMRK 52 Week High Low 125.42 59.21 17.89 9.67 15.40 8.11 18.52 5.49 5.39 74.76 26.89 23.77 11.65 26.79 9.49 29.85 48.35 26.77 7.28 12.51 28.49 43.28 13.40 18.21 25.93 9.65 9.74 47.23 6.99 30.62 7.38 20.75 5.25 10.24 3.93 8.81 25.96 8.42 5.17 28.19 110.57 8.38 18.49 31.72 14.60 43.12 8.94 0.12 20.30 21.58 18.50 31.25 11.91 9.51 3.46 2.90 52.00 17.49 12.57 7.30 7.76 4.35 18.30 30.78 17.91 4.04 6.60 19.93 22.37 7.98 12.95 13.49 5.90 7.09 18.63 4.50 17.15 3.20 6.87 3.80 5.53 2.25 5.05 15.01 4.64 1.37 15.50 69.42 4.86 10.17 20.76 3.42 25.50 6.04 0.01 7.74 9.84 13.27 14.76 6.00 Price 31-Dec-091 29-Oct-10 72.14 71.98 12.71 10.79 8.59 13.67 11.06 3.93 4.02 59.61 24.55 14.79 8.03 22.01 4.57 25.73 47.16 21.88 6.48 10.50 22.76 39.50 10.30 14.09 16.11 7.04 8.19 22.48 5.15 19.75 5.95 9.81 4.30 9.68 3.32 7.16 18.29 7.63 3.40 17.99 97.34 7.31 17.37 25.47 6.33 40.66 7.76 0.02 11.03 18.19 15.00 17.48 6.84 16.95 5.25 4.93 70.50 25.67 20.44 10.70 12.00 4.69 28.95 35.46 25.65 6.20 9.72 21.79 26.88 12.15 17.43 19.27 8.08 8.28 43.84 5.55 28.23 3.76 18.79 5.00 7.34 3.48 7.23 24.68 6.35 1.50 25.10 84.24 7.17 15.34 25.32 11.22 28.84 8.16 0.02 13.19 14.71 17.30 30.49 9.99 Shares (mn) 110.6 212.2 17.4 42.3 17.8 25.2 26.4 110.3 51.3 38.3 140.3 88.6 251.5 46.4 64.4 58.7 35.0 200.1 19.3 13.8 36.4 55.5 103.5 244.4 67.1 89.6 15.6 80.5 60.5 20.5 681.8 2,318.3 183.8 239.4 453.4 82.1 59.6 46.0 766.2 217.8 43.8 27.1 91.3 2,349.4 497.9 79.6 472.7 72.3 70.2 66.3 Market Cap ($ mn) 7,964.5 2,289.3 237.3 716.2 93.4 124.1 1,858.0 2,830.2 1,048.6 409.9 1,684.2 415.6 7,279.7 1,646.8 1,653.1 364.1 340.5 4,360.8 519.7 167.9 635.1 1,070.0 836.5 2,023.9 2,940.1 497.5 439.4 302.7 1,137.4 102.5 5,000.7 8,061.7 1,328.8 5,907.5 2,879.1 123.1 1,496.4 3,874.6 5,493.7 3,341.4 1,108.1 304.0 2,633.7 19,170.9 10.7 1,049.9 6,953.2 1,250.3 2,140.8 661.9 YTD102 Return -0.2% -15.1% 59.1% 53.3% 33.6% 22.6% 18.3% 4.6% 38.2% 33.3% -45.5% 2.6% 12.5% -24.8% 17.2% -4.3% -7.4% -4.3% -31.9% 18.0% 23.7% 19.6% 14.8% 1.1% 95.0% 7.8% 42.9% -36.8% 91.5% 16.3% -24.2% 4.7% 1.0% 34.9% -16.8% -55.9% 39.5% -13.5% -1.9% -11.7% -0.6% 77.3% -29.1% 5.2% -6.5% 19.6% -19.1% 15.3% 74.4% 46.1%

Issuer Unisys Telecommunications American Tower Cincinnati Bell Telephone Clearwire Communications Crown Castle International Fairpoint Communications Frontier Communication General Communication Inc Global Crossing ITC Deltacom Leap Wireless Level 3 Communications MasTec MetroPCS Millicom International Cellular Mobile Telesystems NII Capital PAETEC Holding Corp Philippine Long Distance Telephone Primus Telecomm Group Qwest Communications International SBA Telecommunications Sprint Nextel Corp Time Warner Telecom Holdings VimpelCom Ltd Windstream Transportation American Commercial Lines AMR Delta Air Lines General Maritime Kansas City Southern Railway Navios Maritime Acquisition Navios Maritime Holdings Overseas Shipholding Group RailAmerica Ship Finance Teekay Corporation Trailer Bridge Ultrapetrol Bahamas Ltd United Continental Holdings US Airways Group Utility AES Calpine Corp CMS Energy Dynegy Holdings Mirant Corp NRG Energy Otter Tail Corp PNM Resources RRI Energy Ticker UIS AMT CBB CLWR CCI FRCMQ FTR GNCMA GLBC ITCD LEAP LVLT MTZ PCS MICC MBT NIHD PAET PHI PMUG Q SBAC S TWTC VIP WIN ACLI AMR DAL GMR KSU NNA NM OSG RA SFL TK TRBR ULTR UAL LCC AES CPN CMS DYN MIR NRG OTTR PNM RRI 52 Week High Low 40.41 17.04 53.52 3.74 8.82 44.46 0.14 9.42 11.17 17.75 3.03 19.21 1.77 15.25 12.31 102.72 23.59 45.26 5.30 64.54 11.50 6.95 41.29 5.31 19.63 20.00 13.36 35.50 10.50 14.94 8.82 47.14 10.20 7.55 53.20 14.47 22.00 33.67 5.95 6.98 29.75 12.26 14.24 14.27 19.07 10.35 17.02 26.15 25.39 13.96 6.21 38.09 2.27 5.35 34.12 0.01 6.96 5.21 10.09 1.34 9.51 0.83 9.26 5.52 64.17 17.20 28.28 2.93 50.04 5.60 3.62 30.21 3.10 14.28 12.32 6.02 14.78 5.40 7.40 3.58 27.75 5.04 4.38 31.39 9.16 12.30 20.42 2.93 4.05 6.85 3.04 8.82 10.69 13.85 2.76 9.36 19.20 18.24 10.81 3.35 Price 31-Dec-091 29-Oct-10 38.56 23.05 43.21 3.45 6.76 39.04 0.03 7.81 6.38 14.25 2.02 17.55 1.53 12.50 7.63 69.63 19.56 33.58 4.15 55.62 5.95 4.21 34.16 3.66 17.15 18.59 10.99 18.33 7.73 11.38 6.99 33.29 5.45 6.05 43.95 12.20 13.63 23.21 4.80 4.76 12.91 4.84 13.31 11.00 15.66 9.05 15.27 23.61 19.99 12.65 4.42 51.61 2.45 7.09 43.12 0.03 8.78 10.45 13.60 2.99 11.41 0.97 12.20 10.40 94.60 21.65 41.81 4.22 62.13 9.60 6.61 39.26 4.13 18.40 15.33 12.66 33.15 7.89 13.89 3.84 43.82 5.45 5.99 33.43 11.60 20.11 31.80 3.10 6.51 29.04 11.79 11.94 12.50 18.38 4.64 10.61 19.91 20.55 11.79 3.76 Shares (mn) 42.6 399.1 201.8 243.3 290.8 90.0 993.9 44.3 60.5 83.7 78.3 1,669.2 76.1 354.4 109.0 996.7 169.3 144.7 186.8 9.7 1,742.7 115.0 2,952.0 151.3 1,291.2 483.7 12.8 333.3 788.9 88.9 102.6 47.9 101.0 30.4 54.9 79.1 73.0 12.0 29.9 317.1 161.5 788.1 444.5 244.6 120.9 145.5 247.2 35.9 86.7 353.4 Market Cap ($ mn) 982.5 20,596.5 494.4 1,724.7 12,537.4 2.6 8,726.2 463.3 822.8 250.2 893.3 1,615.3 928.7 3,685.9 10,308.2 21,577.8 7,077.2 610.6 11,605.7 93.5 11,519.4 4,513.5 12,177.2 2,784.0 19,794.6 6,123.6 425.8 2,629.6 10,954.2 341.4 4,496.4 261.1 604.8 1,017.0 636.4 1,591.2 2,320.7 37.3 194.9 9,207.8 1,904.5 9,409.9 5,556.6 4,495.3 560.9 1,544.2 4,921.7 738.4 1,021.9 1,328.9 YTD102 Return -40.2% 19.4% -29.0% 4.9% 10.5% -12.1% 12.4% 63.8% -4.6% 48.0% -35.0% -36.8% -2.4% 36.3% 35.9% 10.7% 24.5% 1.7% 11.7% 61.3% 57.0% 14.9% 12.7% 7.3% -17.5% 15.2% 80.9% 2.1% 22.0% -45.1% 31.6% 0.0% -1.0% -23.9% -4.9% 47.5% 37.0% -35.4% 36.8% 124.9% 143.6% -10.3% 13.6% 17.4% -48.7% -30.5% -15.7% 2.8% -6.8% -14.9%
High-yield investment styles

JPMorgan Global High-Yield Index Market Weight Duration 3.46yrs 2.97yrs 3.63yrs 3.78yrs 3.72yrs 3.81yrs 3.36yrs 3.46yrs 3.16yrs 4.00yrs 3.99yrs 4.02yrs 3.77yrs 4.84yrs 3.32yrs 3.16yrs 3.04yrs 2.93yrs 3.78yrs 4.34yrs 3.84yrs 4.46yrs 4.38yrs 5.44yrs 4.13yrs 3.09yrs 4.94yrs 5.71yrs 4.76yrs 4.20yrs 3.98yrs 3.87yrs 4.34yrs 3.57yrs 3.39yrs 565bp 422bp 613bp 745bp 755bp 740bp 641bp 555bp 821bp 534bp 508bp 569bp 635bp 552bp 669bp 800bp 1035bp 678bp 766bp 609bp 749bp 605bp 597bp 302bp 499bp 793bp 627bp 554bp 676bp 723bp 583bp 638bp 549bp 612bp 815bp 2.570 3.068 2.356 3.492 2.670 3.925 2.748 2.554 3.122 3.205 3.553 2.703 1.850 2.094 1.749 2.464 3.107 1.931 2.699 3.013 3.128 3.192 2.607 2.943 1.630 2.822 3.391 3.501 3.942 3.311 2.708 2.484 2.522 2.599 2.296 4.04% 1.68% 2.35% 2.30% 0.96% 1.35% 7.24% 4.71% 2.53% 3.11% 1.42% 1.69% 1.36% 0.36% 1.00% 1.86% 0.55% 1.17% 0.14% 10.01% 1.56% 6.46% 0.71% 0.34% 0.35% 0.59% 9.39% 5.16% 0.42% 3.18% 0.64% 2.65% 1.18% 0.90% 0.57% 3.54yrs 4.01yrs 3.21yrs 3.19yrs 3.37yrs 3.06yrs 3.30yrs 3.62yrs 2.69yrs 3.72yrs 4.12yrs 3.38yrs 3.41yrs 4.30yrs 3.09yrs 2.55yrs 2.85yrs 2.27yrs 3.78yrs 4.28yrs 3.70yrs 4.49yrs 4.13yrs 5.56yrs 2.86yrs 3.82yrs 4.83yrs 5.22yrs 7.21yrs 4.04yrs 4.16yrs 3.83yrs 3.93yrs 3.93yrs 3.45yrs 513bp 399bp 593bp 816bp 898bp 758bp 624bp 544bp 772bp 568bp 533bp 596bp 616bp 543bp 643bp 757bp 965bp 656bp 853bp 618bp 812bp 577bp 565bp 286bp 539bp 849bp 547bp 535bp 473bp 595bp 452bp 602bp 538bp 604bp 731bp 3.225 4.171 2.548 3.874 2.826 4.618 2.458 2.661 2.080 3.225 3.463 3.024 1.990 2.431 1.832 2.571 2.979 2.375 2.599 3.211 3.613 3.285 2.613 2.880 2.126 2.903 3.675 3.461 2.978 4.233 3.093 2.500 2.382 2.730 2.381 4.78% 2.17% 2.61% 1.98% 0.78% 1.20% 6.89% 4.87% 2.02% 3.20% 1.58% 1.62% 1.60% 0.55% 1.05% 1.33% 0.26% 0.88% 0.19% 12.03% 1.77% 7.62% 1.02% 0.50% 0.62% 0.51% 9.03% 4.91% 0.54% 3.12% 0.45% 2.97% 1.44% 1.02% 0.51% STW Duration STW 3.00% 0.90% 2.10% 1.58% 0.55% 1.04% 4.20% 2.76% 1.44% 3.68% 2.17% 1.50% 2.19% 0.65% 1.55% 2.06% 0.60% 0.95% 0.51% 12.66% 2.52% 6.33% 1.50% 1.23% 0.44% 0.64% 9.36% 4.51% 0.57% 3.51% 0.77% 3.80% 1.70% 1.09% 1.00% Price Volatility Market Weight Price Volatility Market Weight High-Yield Mutual Funds High-Yield Institutional Funds Duration 3.81yrs 4.28yrs 3.42yrs 3.51yrs 3.53yrs 3.49yrs 3.57yrs 3.98yrs 2.59yrs 4.04yrs 4.20yrs 3.88yrs 3.41yrs 4.21yrs 3.00yrs 3.12yrs 3.96yrs 2.73yrs 3.70yrs 4.46yrs 3.91yrs 4.70yrs 4.26yrs 5.56yrs 3.02yrs 3.68yrs 5.17yrs 5.60yrs 6.65yrs 4.38yrs 4.27yrs 4.04yrs 4.16yrs 4.22yrs 3.31yrs STW 496bp 399bp 575bp 692bp 718bp 675bp 576bp 526bp 698bp 540bp 520bp 559bp 578bp 532bp 602bp 690bp 898bp 600bp 815bp 550bp 706bp 516bp 559bp 269bp 535bp 774bp 547bp 533bp 505bp 587bp 475bp 540bp 509bp 496bp 716bp Price Volatility 3.418 4.426 2.582 3.328 2.660 3.761 2.582 2.811 2.028 3.105 3.246 2.968 2.022 2.392 1.830 2.512 2.928 2.364 2.622 3.034 3.191 3.117 2.606 2.963 2.182 3.193 3.673 3.429 2.975 4.327 2.646 2.522 2.296 2.901 2.403
November 30, 2010
Automotive Oems and Captive Finance Suppliers Broadcasting Out of Home Television Cable and Satellite Cable and DBS Satellites Chemicals Commodity Chemicals Specialty Chemicals Consumer Products Apparel and Textiles Diversified Consumer Products Diversified Media Book and Magazine Publishing Media Services Newspaper Publishing Energy Energy Service Exploration & Production Midstream Pipelines Propane Refining Financial Banks Insurance Other Financial Reits Food and Beverages Food Producers Packaged Food and Beverages Restaurants
A117

JPMorgan Global High-Yield Index Market Weight Duration 3.49yrs 3.61yrs 3.43yrs 3.10yrs 3.62yrs 4.11yrs 3.34yrs 3.97yrs 4.15yrs 3.79yrs 3.60yrs 3.52yrs 3.64yrs 3.65yrs 3.74yrs 2.41yrs 4.25yrs 3.99yrs 4.32yrs 4.33yrs 4.31yrs 3.90yrs 3.98yrs 3.82yrs 4.00yrs 3.26yrs 3.32yrs 3.16yrs 3.62yrs 3.65yrs 3.82yrs 4.13yrs 3.71yrs 3.26yrs 741bp 847bp 647bp 437bp 602bp 599bp 604bp 699bp 592bp 812bp 598bp 631bp 581bp 569bp 553bp 643bp 567bp 546bp 655bp 611bp 679bp 600bp 452bp 622bp 724bp 756bp 850bp 707bp 817bp 768bp 520bp 590bp 617bp 1023bp 2.491 2.640 2.192 2.354 2.120 2.313 2.012 2.583 1.921 3.278 2.257 2.293 2.239 2.381 2.734 2.665 1.699 2.103 2.444 1.940 2.726 2.066 2.087 2.081 2.009 2.373 2.632 2.121 3.060 3.062 2.227 2.637 3.425 3.285 5.88% 3.58% 1.61% 0.69% 8.13% 2.56% 5.57% 2.19% 1.37% 0.82% 4.46% 1.42% 3.04% 3.35% 1.42% 0.58% 0.76% 0.59% 4.35% 2.04% 2.30% 4.32% 1.09% 1.87% 1.36% 3.57% 0.87% 1.99% 0.70% 5.50% 0.35% 1.29% 1.76% 2.10% 3.36yrs 3.34yrs 3.63yrs 2.89yrs 3.05yrs 3.39yrs 2.90yrs 3.79yrs 3.76yrs 3.85yrs 3.37yrs 3.24yrs 3.43yrs 3.51yrs 4.24yrs 2.31yrs 2.60yrs 4.13yrs 3.95yrs 3.78yrs 4.10yrs 3.81yrs 3.49yrs 3.89yrs 3.96yrs 2.86yrs 2.79yrs 2.87yrs 2.94yrs 3.55yrs 3.50yrs 4.44yrs 3.54yrs 3.05yrs 752bp 840bp 675bp 475bp 643bp 710bp 612bp 752bp 700bp 841bp 625bp 695bp 592bp 500bp 512bp 646bp 286bp 606bp 619bp 615bp 623bp 628bp 533bp 604bp 737bp 773bp 834bp 758bp 741bp 764bp 520bp 603bp 689bp 965bp 2.677 2.894 2.455 2.074 2.099 2.213 2.047 2.258 1.842 2.954 2.440 2.530 2.397 2.540 2.869 2.713 2.000 2.280 2.659 2.321 2.959 2.096 2.038 2.249 1.934 2.577 2.687 2.369 3.030 3.268 2.588 3.018 3.901 3.003 5.37% 2.89% 1.51% 0.97% 8.41% 2.32% 6.09% 2.00% 1.33% 0.67% 4.79% 1.14% 3.65% 4.22% 1.62% 1.02% 0.85% 0.74% 4.77% 2.08% 2.69% 3.86% 0.79% 1.80% 1.26% 3.50% 0.82% 2.06% 0.61% 4.20% 0.35% 1.21% 1.05% 1.59% STW Duration STW 4.98% 3.08% 1.23% 0.68% 7.35% 2.64% 4.70% 4.58% 2.34% 2.24% 5.10% 1.73% 3.37% 4.30% 1.58% 0.78% 0.59% 1.35% 5.33% 1.92% 3.42% 3.98% 1.04% 2.05% 0.89% 4.10% 0.97% 2.55% 0.57% 4.72% 0.30% 1.38% 1.18% 1.86% Price Volatility Market Weight Price Volatility Market Weight High-Yield Mutual Funds High-Yield Institutional Funds Duration 3.41yrs 3.36yrs 3.71yrs 3.09yrs 3.06yrs 3.24yrs 2.99yrs 4.54yrs 4.61yrs 4.38yrs 3.73yrs 3.99yrs 3.65yrs 3.53yrs 4.34yrs 2.28yrs 2.76yrs 4.36yrs 4.29yrs 4.05yrs 4.47yrs 4.51yrs 4.97yrs 4.68yrs 3.99yrs 3.01yrs 2.45yrs 3.25yrs 2.96yrs 3.59yrs 3.87yrs 4.59yrs 3.85yrs 2.62yrs STW 687bp 766bp 686bp 453bp 619bp 684bp 595bp 628bp 609bp 664bp 564bp 562bp 565bp 515bp 500bp 655bp 289bp 612bp 584bp 595bp 576bp 562bp 423bp 536bp 688bp 734bp 710bp 739bp 751bp 653bp 413bp 503bp 667bp 808bp Price Volatility 2.483 2.671 2.353 2.126 2.100 2.314 2.019 2.303 1.927 3.051 2.482 2.430 2.498 2.579 2.889 2.670 2.090 2.330 2.725 2.346 3.018 2.251 2.185 2.586 1.814 2.652 2.417 2.562 3.274 2.813 2.814 2.927 3.606 2.203
November 30, 2010
Gaming Lodging and Leisure Gaming Leisure and Entertainment Lodging Healthcare Device and Pharma Manufacturers Healthcare Services Housing Building Materials Homebuilders Industrials Aerospace and Defense General Industrials Metals and Mining Coal Metals Mining Steel Paper and Packaging Packaging Paper and Forest Products Retail Department and Discount Stores Specialty Retail Supermarkets and Drug Stores Services Business Solutions Diversified Services Rental Technology EMS Equipment and Hardware Semiconductors Services and Software
A118

JPMorgan Global High-Yield Index Market Weight Duration 4.13yrs 3.72yrs 4.45yrs 3.79yrs 4.42yrs 3.51yrs 5.43yrs 3.35yrs 5.26yrs 4.77yrs 6.51yrs 4.01yrs 623bp 365bp 650bp 649bp 621bp 546bp 631bp 759bp 698bp 816bp 395bp 644bp 2.848 2.176 2.804 3.073 2.990 2.310 3.559 2.737 2.645 2.656 2.615 2.686 9.24% 0.42% 5.71% 3.11% 1.99% 1.11% 0.50% 0.39% 4.91% 3.88% 1.03% 100.00% 3.94yrs 3.26yrs 3.85yrs 4.19yrs 3.56yrs 3.70yrs 3.75yrs 2.91yrs 4.42yrs 4.34yrs 4.72yrs 3.74yrs 614bp 434bp 667bp 540bp 594bp 537bp 680bp 648bp 801bp 888bp 471bp 643bp 3.291 2.573 3.327 3.321 2.660 2.729 2.614 2.521 3.017 3.048 2.900 2.867 7.74% 0.45% 3.38% 3.91% 1.54% 0.94% 0.35% 0.24% 5.78% 4.44% 1.34% 100.00% STW Duration STW 6.45% 0.60% 3.38% 2.47% 2.31% 0.81% 1.13% 0.37% 4.25% 3.06% 1.19% 100.00% Price Volatility Market Weight Price Volatility Market Weight High-Yield Mutual Funds High-Yield Institutional Funds Duration 3.99yrs 2.98yrs 4.03yrs 4.08yrs 3.61yrs 3.31yrs 4.39yrs 3.63yrs 4.37yrs 4.25yrs 4.77yrs 3.96yrs STW 582bp 456bp 638bp 549bp 604bp 557bp 728bp 607bp 774bp 864bp 479bp 597bp Price Volatility 3.236 2.552 3.423 3.152 2.667 2.586 2.986 2.518 2.864 2.866 2.856 2.812
November 30, 2010
Telecommunications Towers Wireless Wireline Transportation Airlines Shipping Trucking/Rail Utility Independent Power Producers Integrated Utilities Market Weighted Averages
Industry Type Cyclical Defensive Energy 53.54% 33.80% 12.66% 4.02yrs 3.86yrs 4.34yrs 640bp 664bp 609bp 2.688 2.560 3.013 49.93% 39.90% 10.01% 3.82yrs 3.49yrs 4.28yrs
623bp 676bp 618bp
2.889 2.747 3.211
49.35% 38.59% 12.03%
4.09yrs 3.63yrs 4.46yrs
575bp 638bp 550bp
2.857 2.688 3.034
Security Type Cash Deferred less than 2 years Deferred 2 years & Over Default 96.75% 0.67% 1.42% 1.15% 4.02yrs 3.43yrs 3.30yrs 0.00yrs 636bp 1134bp 989bp 0bp 2.635 4.341 3.782 4.672 96.93% 0.78% 1.99% 0.31%
3.76yrs 2.67yrs 3.24yrs 0.00yrs
633bp 1027bp 1011bp 0bp
2.826 3.917 4.282 4.201
98.69% 0.24% 0.87% 0.20%
3.97yrs 2.45yrs 2.85yrs 0.00yrs
592bp 994bp 1036bp 0bp
2.796 3.787 4.449 2.449
Rating Split BBB BB Split BB B Split B CCC Not Rated 9.39% 21.50% 14.79% 31.16% 9.55% 11.47% 0.76% 5.48yrs 4.48yrs 3.72yrs 3.83yrs 3.37yrs 3.34yrs 3.61yrs 383bp 472bp 548bp 655bp 823bp 1088bp 841bp 2.833 2.532 2.478 2.441 2.654 3.608 1.950
4.27% 17.75% 17.32% 31.45% 10.97% 13.97% 0.55%
5.54yrs 4.57yrs 3.49yrs 3.60yrs 3.11yrs 2.97yrs 2.68yrs
429bp 476bp 538bp 644bp 816bp 991bp 854bp
3.034 2.861 2.825 2.631 2.714 3.524 1.627
5.08% 22.38% 20.40% 31.10% 8.83% 8.05% 0.29%
422bp 466bp 533bp 633bp 768bp 1033bp 880bp
3.100 2.813 2.849 2.625 2.582 3.477 1.856
A119

JPMorgan Global High-Yield Index Market Weight Duration STW Duration STW Price Volatility Market Weight Price Volatility Market Weight High-Yield Mutual Funds High-Yield Institutional Funds Duration STW Price Volatility
November 30, 2010
Rating Tier Upper Tier Middle Tier Lower Tier 30.89% 55.51% 12.84% 0.00% 0.05% 2.27% 10.96% 10.86% 11.29% 14.65% 12.40% 16.02% 10.52% 4.58% 2.53% 0.75% 0.89% 2.23% 0.12% 1.09% 6.19% 9.58% 10.40% 13.47% 16.34% 14.94% 11.41% 8.13% 4.27% 0.54% 0.57% 0.60% 0.20% 2.15% 4.28yrs 5.09yrs 5.09yrs 4.69yrs 4.60yrs 4.11yrs 3.92yrs 3.85yrs 3.33yrs 3.12yrs 3.78yrs 2.40yrs 1.92yrs 2.72yrs 0.00yrs 3.56yrs 443bp 335bp 396bp 413bp 482bp 555bp 601bp 666bp 774bp 916bp 1080bp 2422bp 1873bp 1818bp 0bp 767bp 2.273 2.088 3.016 2.558 2.704 2.389 2.503 2.326 2.582 3.361 3.545 5.130 6.983 3.209 3.560 2.613 0.10% 1.64% 3.88% 7.39% 9.52% 13.86% 16.75% 15.45% 13.28% 9.30% 5.23% 0.67% 0.27% 0.22% 0.03% 1.62% 6.39yrs 4.55yrs 5.27yrs 4.21yrs 4.58yrs 3.89yrs 3.57yrs 3.80yrs 3.18yrs 2.89yrs 3.15yrs 2.95yrs 2.20yrs 2.80yrs 0.00yrs 2.77yrs 286bp 337bp 367bp 460bp 465bp 554bp 595bp 645bp 777bp 869bp 1028bp 1605bp 1772bp 1526bp 0bp 741bp 0.00yrs 7.25yrs 7.26yrs 5.19yrs 3.99yrs 4.32yrs 3.97yrs 3.41yrs 3.85yrs 3.50yrs 3.08yrs 3.46yrs 2.86yrs 3.14yrs 3.13yrs 0bp 442bp 374bp 389bp 476bp 518bp 572bp 655bp 692bp 822bp 1142bp 1270bp 1700bp 1150bp 827bp 0.000 2.420 3.132 2.907 2.301 2.554 2.568 2.300 2.507 2.501 4.395 3.663 5.860 2.756 3.049 0.27% 0.93% 2.62% 5.07% 9.55% 11.62% 14.86% 12.50% 17.64% 13.09% 5.76% 2.79% 0.96% 0.19% 1.56% 6.41yrs 5.21yrs 5.42yrs 5.14yrs 4.01yrs 4.59yrs 3.67yrs 3.30yrs 3.52yrs 3.02yrs 2.80yrs 3.37yrs 3.83yrs 2.54yrs 2.91yrs 251bp 255bp 364bp 410bp 491bp 499bp 553bp 655bp 660bp 797bp 977bp 1258bp 1423bp 579bp 814bp 3.331 2.790 2.556 2.917 2.851 3.016 2.848 2.367 2.668 2.616 3.963 3.923 4.994 2.236 2.763 3.154 2.642 2.941 3.020 2.935 2.586 2.671 2.585 2.913 3.262 3.616 3.972 6.161 2.882 5.658 2.144 4.78yrs 3.72yrs 3.33yrs 445bp 655bp 1105bp 2.623 2.487 3.738 25.32% 59.73% 14.40% 4.83yrs 3.48yrs 2.96yrs 443bp 645bp 988bp 2.906 2.703 3.530
31.13% 60.33% 8.25% 0.39% 1.08% 2.70% 7.09% 12.01% 13.97% 16.73% 13.09% 16.57% 9.07% 3.36% 1.70% 0.44% 0.04% 1.05% 0.01% 2.13% 4.61% 8.94% 11.69% 16.35% 18.10% 14.87% 11.50% 6.12% 3.43% 0.32% 0.06% 0.04% 0.00% 0.96%
4.83yrs 3.63yrs 3.07yrs 5.79yrs 5.03yrs 5.60yrs 5.19yrs 4.09yrs 4.56yrs 3.81yrs 3.38yrs 3.64yrs 3.15yrs 2.96yrs 3.37yrs 4.12yrs 0.00yrs 3.36yrs 6.86yrs 4.36yrs 5.40yrs 4.63yrs 4.56yrs 3.89yrs 3.80yrs 3.90yrs 3.22yrs 2.87yrs 3.38yrs 2.70yrs 3.00yrs 3.00yrs 0.00yrs 3.30yrs
437bp 619bp 1034bp 240bp 245bp 374bp 410bp 480bp 493bp 547bp 629bp 662bp 762bp 998bp 1318bp 1516bp 0bp 907bp 219bp 348bp 354bp 446bp 465bp 539bp 581bp 637bp 727bp 857bp 1113bp 2052bp 1741bp 1729bp 0bp 707bp
2.881 2.694 3.452 3.122 2.658 2.572 2.985 2.792 3.002 2.813 2.397 2.631 2.504 3.748 3.777 5.180 1.955 3.615 2.903 2.606 2.993 3.002 2.923 2.549 2.728 2.607 2.797 2.994 3.653 4.381 4.045 3.691 4.401 2.314
Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3 Caa1 Caa2 Caa3 Ca C NR
BBB+ BBB BBBBB+ BB BBB+ B BCCC+ CCC CCCCC C D NR

JPMorgan Global High-Yield Index Market Weight Duration 3.48yrs 3.32yrs 4.05yrs 4.55yrs 6.01yrs 3.98yrs 4.36yrs 825bp 601bp 600bp 559bp 571bp 648bp 603bp 3.257 1.487 2.708 2.952 4.072 2.654 2.960 0.33% 0.15% 7.72% 1.06% 0.21% 90.54% 1.86% 4.29yrs 3.72yrs 3.42yrs 4.90yrs 4.03yrs 3.76yrs 4.62yrs 617bp 513bp 664bp 548bp 663bp 643bp 575bp 3.390 1.304 3.033 3.128 3.063 2.850 3.128 0.34% 0.16% 5.75% 1.24% 0.15% 92.37% 1.99% STW Duration STW 2.08% 0.36% 6.81% 3.45% 0.68% 86.62% 7.47% Price Volatility Market Weight Price Volatility Market Weight High-Yield Mutual Funds High-Yield Institutional Funds Duration 4.70yrs 3.97yrs 3.61yrs 4.66yrs 6.10yrs 3.96yrs 4.69yrs STW 614bp 486bp 643bp 560bp 467bp 594bp 564bp Price Volatility 2.909 1.324 3.006 3.078 3.425 2.798 3.007
November 30, 2010
Region Asia Australia Europe Latin America Middle East and Africa US/Canada Emerging Markets
Size 0mn - 100mn 101mn - 199mn 200mn - 299mn 300mn - 399mn 400mn - 499mn over 500mn 0.46% 4.80% 12.05% 11.06% 10.01% 61.62% 3.46yrs 2.98yrs 3.52yrs 3.71yrs 3.82yrs 4.27yrs 787bp 822bp 696bp 666bp 606bp 621bp 2.336 2.362 2.310 2.560 2.318 2.870 0.72% 4.04% 10.70% 10.16% 9.12% 65.26% 3.15yrs 2.91yrs 3.47yrs 3.61yrs 3.66yrs 3.88yrs 679bp 758bp 677bp 643bp 647bp 630bp
2.470 2.266 2.419 2.776 2.556 3.040
0.41% 3.68% 10.89% 10.33% 9.65% 65.04%
2.85yrs 3.12yrs 3.73yrs 3.75yrs 3.87yrs 4.10yrs
709bp 715bp 626bp 593bp 611bp 583bp
2.656 2.386 2.352 2.580 2.545 2.991
Yield to Worst Class LT 5% 5% - 6% 6% - 7% 7% - 8% 8% - 9% 9% - 10% 10% - 11% 11% - 13% 13% - 15% 15% - 17% 17% - 20% 20% - 25% GT 25% 12.00% 17.62% 21.01% 19.07% 11.40% 6.50% 5.55% 3.66% 2.03% 0.89% 1.18% 0.26% 0.59% 2.82yrs 3.61yrs 4.49yrs 4.58yrs 4.35yrs 4.09yrs 3.89yrs 3.76yrs 3.99yrs 3.41yrs 2.98yrs 2.34yrs 2.32yrs 382bp 489bp 523bp 608bp 720bp 794bp 884bp 1035bp 1224bp 1437bp 1709bp 2163bp 3321bp 2.330 2.420 2.554 2.533 2.676 2.628 2.826 3.131 3.931 4.808 5.683 4.753 7.231 12.12% 21.01% 22.43% 19.25% 10.64% 5.35% 5.05% 2.60% 1.91% 0.88% 1.25% 0.18% 0.40%
2.51yrs 3.36yrs 4.19yrs 4.30yrs 3.83yrs 3.80yrs 3.66yrs 3.92yrs 3.97yrs 3.57yrs 3.35yrs 2.81yrs 2.84yrs
421bp 518bp 542bp 633bp 756bp 805bp 902bp 1034bp 1242bp 1435bp 1703bp 2091bp 2716bp
2.318 2.739 2.793 2.874 2.906 2.499 3.135 3.606 4.344 4.943 5.231 5.850 6.065
13.65% 24.71% 25.03% 17.84% 8.56% 4.50% 3.18% 1.77% 1.04% 0.58% 0.56% 0.21% 0.48%
2.65yrs 3.65yrs 4.50yrs 4.44yrs 4.30yrs 4.13yrs 3.89yrs 3.91yrs 3.85yrs 3.94yrs 3.78yrs 2.64yrs 2.78yrs
420bp 495bp 530bp 621bp 723bp 790bp 890bp 1028bp 1231bp 1421bp 1718bp 2032bp 2738bp
2.406 2.828 2.827 2.783 2.686 2.562 3.005 3.693 4.112 4.181 4.622 6.271 6.255
A121

JPMorgan Global High-Yield Index Market Weight Duration 3.56yrs 5.41yrs 5.66yrs 5.48yrs 4.49yrs 3.81yrs 3.29yrs 191bp 283bp 324bp 380bp 455bp 614bp 1065bp 2.590 3.226 2.784 2.608 2.545 2.407 3.233 2.29% 1.44% 3.08% 4.59% 16.13% 50.21% 21.94% 3.69yrs 6.07yrs 5.81yrs 5.18yrs 4.46yrs 3.47yrs 3.10yrs 192bp 279bp 328bp 377bp 455bp 614bp 1020bp 2.821 3.559 3.396 3.049 3.093 2.497 3.378 2.25% 1.86% 3.84% 6.14% 20.21% 51.20% 14.30% STW Duration STW 2.45% 1.89% 4.33% 4.90% 18.00% 45.27% 22.01% Price Volatility Market Weight Price Volatility Market Weight High-Yield Mutual Funds High-Yield Institutional Funds Duration 3.49yrs 6.35yrs 6.11yrs 5.51yrs 4.45yrs 3.57yrs 3.18yrs STW 191bp 282bp 328bp 379bp 455bp 607bp 1029bp Price Volatility 2.633 3.784 3.631 3.219 3.034 2.459 3.277
November 30, 2010
Spread to Worst Class LT 250 bp 250 bp - 300 bp 300 bp - 350 bp 350 bp - 400 bp 400 bp - 500 bp 500 bp - 750 bp 750 bp & Above
Duration <2 yrs 2 - 3 yrs 3 - 4 yrs 4 - 5 yrs 5 - 6 yrs 6 - 7 yrs 7 - 10 yrs 14.04% 16.58% 20.60% 21.70% 13.75% 6.47% 3.88% 1.18yrs 2.51yrs 3.54yrs 4.46yrs 5.42yrs 6.52yrs 8.03yrs 683bp 728bp 751bp 645bp 525bp 469bp 425bp 1.782 2.727 2.935 2.670 2.821 2.894 2.680 18.72% 19.16% 21.34% 18.94% 11.79% 4.42% 3.26% 1.17yrs 2.52yrs 3.56yrs 4.44yrs 5.42yrs 6.50yrs 8.59yrs 643bp 701bp 748bp 649bp 524bp 451bp 457bp
1.726 2.884 3.108 2.956 3.122 3.775 3.688
16.07% 16.81% 20.27% 20.25% 15.23% 5.51% 3.46%
620bp 645bp 704bp 593bp 509bp 433bp 432bp
1.660 2.730 2.996 2.804 3.191 3.641 3.399
Seniority Senior Secured Senior Senior Subordinated Junior Subordinated 24.75% 64.70% 9.14% 1.35% 9.87% 90.13% 56.68% 43.32% 4.16yrs 3.81yrs 564bp 748bp 2.679 2.695 1.56yrs 4.28yrs 552bp 654bp 2.179 2.741 3.67yrs 4.23yrs 2.95yrs 6.28yrs 749bp 591bp 731bp 667bp 2.778 2.670 2.471 3.265 24.17% 65.36% 9.07% 1.39% 13.71% 86.29% 57.83% 42.17%
3.49yrs 3.94yrs 2.82yrs 4.98yrs 1.66yrs 4.08yrs 3.93yrs 3.48yrs
700bp 610bp 713bp 762bp 580bp 654bp 571bp 742bp
2.750 2.979 2.323 3.222 2.243 2.967 2.888 2.839
22.84% 67.02% 8.78% 1.35% 12.49% 87.51% 62.44% 37.56%
3.58yrs 4.14yrs 3.07yrs 6.94yrs 1.69yrs 4.28yrs 4.11yrs 3.71yrs
667bp 560bp 668bp 735bp 552bp 603bp 546bp 681bp
2.676 2.915 2.286 3.458 2.225 2.896 2.853 2.745
Cushion Paper Non-Cushion Paper
Equity Other
A122
High-yield market growth

Global US dollar-denominated high-yield market growth
$ bn
1400.0 High-yield market size 1200.0 1000.0 Market size ($ bn) 870 800.0 600.0 400.0 200.0 0.0
126.0 150.8 277.3
300.0 New-issue volume 1235 250.0 1117 946 962 944 902 892 942
158.2 149.1 147.9
180.7
200.0
New issue volume ($ bn)
754 622 649

99.8 94.7
151.6
150.0
565
448 295 270 73.6 244 207 215 201 200 234 138 183 47.3 29.3 46.0 83 43.0 33.3 30.5 31.1 30 32 35 43 59
1.4 1.5 2.7 7.815.2 15.7 1.4 10.0 69.1
106.1
100.0
349
67.9 47.2 52.9
50.0
Sources of supply and demand in the high-yield market

$ bn New issuance Fallen angels TOTAL SUPPLY Calls Tenders Maturities Rising stars Coupon reinvestment @ 75% Mutual fund flows (AMG) TOTAL DEMAND NET SUPPLY 1998 150.8 14.2 165.0 14.8 22.4 24.1 35.7 19.7 116.8 48.2 1999 99.8 10.6 110.4 10.4 15.7 29.7 38.3 3.9 98.0 12.5 2000 47.3 24.7 72.1 11.5 12.9 11.0 10.0 39.5 -6.3 78.7 -6.7 2001 94.7 66.4 161.1 11.6 9.6 11.1 24.1 43.9 13.2 113.5 47.6 2002 67.8 141.6 209.4 17.1 8.8 50.6 16.3 50.0 16.3 159.1 50.3 2003 151.6 39.7 191.3 37.6 18.6 89.8 13.4 52.5 32.9 244.7 -53.4 2004 158.2 37.2 195.4 60.7 40.2 74.1 30.6 53.0 -2.1 256.5 -61.1 2005 106.1 112.8 218.9 38.2 38.7 54.2 38.1 55.4 -8.8 215.8 3.1 2006 149.1 30.1 179.2 27.4 49.0 57.9 30.4 56.9 5.5 227.1 -47.9 2007 147.9 50.7 198.6 46.3 63.8 32.0 19.2 58.6 5.0 225.0 -26.4 2008 52.9 55.9 108.8 14.9 35.5 26.9 26.5 57.7 6.5 168.5 -59.7 2009 180.7 150.2 331.0 22.7 45.5 36.8 13.1 68.8 31.9 218.0 112.9 20101 277.3 28.0 305.3 45.3 47.9 30.8 32.7 68.9 11.4 237.0 68.3
2010 1
0.0
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
1. 2010 data is through November 30. Sources: J.P. Morgan; Bloomberg; Indepth Data; Lipper FMI; Investment Compnay Institute.
A123
Risk and returns of various assets
One year ended November 30, 2010
29.00%
24.00% DAX Gold DJ World EM Stock Index Wilshire 5000 FTSE 100 10-year Treasury S&P 500 S&P 500 Barra Growth Index
19.00%
14.00% JPMorgan JULI HG Index 5-year Treasury
Annualized Return
9.00%
4.00%
-1.00% CAC 40 6.00% 11.00% Annualized Volatility 16.00% 21.00% 26.00%
-6.00% 1.00%
Sources: J.P. Morgan; Bloomberg; S&P LCD.
Y
Russell 2000 JPMorgan Euro. Curr. HY Index JPMorgan Euro. Agg. HY Index JPMorgan EMBI- Global Comp.
Leveraged loans
LB Agg. Bond Index
JPMorgan MBS Bond Index
A124
Three years ended November 30, 2010
12.00% JPMorgan EMBI- Global Comp. 10-year Treasury
7.00%
5-year Treasury
JPMorgan JPMorgan LB Agg. Bond Index JULI HG Index Leveraged loans MBS Bond Index
JPMorgan Global HY Index JPMorgan Euro. Agg. HY Index JPMorgan Euro. Curr. HY Index
2.00% Russell 2000 S&P 500 Barra Growth Index FTSE 100 S&P 500 Wilshire 5000 DAX DJ World EM Stock Index
Annualized Return
-3.00%
-8.00%
-13.00% 0.00% 5.00%
CAC 40 10.00% 15.00% Annualized Volatility 20.00% 25.00% 30.00%
A125
Five years ended November 30, 2010
13.00% DJ World EM Stock Index JPMorgan EMBI- Global Composite JPMorgan Global HY Index JPMorgan JULI HG Index JPMorgan Euro. Agg. HY Index 10-year Treasury Leveraged loans DAX S&P 500 Barra Growth Index Russell 2000 FTSE 100 Wilshire 5000 S&P 500 JPMorgan Euro. Curr. HY Index
9.00%
Annualized Return
5.00%
1.00%
-3.00% 0.00% 4.00% 6.00% 8.00%
Y
5-year Treasury CAC 40 10.00% 12.00% 14.00% 16.00% Annualized Volatility 18.00% 20.00% 22.00% 24.00% 26.00% 28.00%
JPMorgan MBS Bond Index
LB Agg. Bond Index
2.00%
A126
Ten years ended November 30, 2010
14.00%
12.00% JPMorgan EMBI- Global Composite Investment-grade bonds
10.00%
8.00% JPMorgan Global HY Index 5-year Treasury 10-year Treasury Leveraged loans
LB Agg. Bond Index
6.00%
Annualized Return
4.00% US Inflation
Russell 2000
2.00%
0.00%
S&P 500
Wilshire 5000 FTSE 100 CAC 40 S&P 500 Barra Growth Index
DAX
-2.00%
-4.00% 0.00% 5.00%
15.00%
20.00%
25.00%
A127
Fifteen years ended November 30, 2010
14.00% Gold JPMorgan EMBI- Global Composite JPMorgan Global HY Index Russell 2000
12.00%
10.00%
8.00%
6.00%
Annualized Return
4.00% Wilshire 5000 S&P 500 FTSE 100 S&P 500 Barra Growth Index
2.00%
0.00%
-2.00% CAC 40 5.00% 10.00% Annualized Volatility 15.00% 20.00% 25.00%
-4.00% 0.00%
Y
DAX
Investment Grade JPM MBS Bond Index
10-year Treasury 5-year Treasury LB Agg. Bond Index Leveraged Loans
A128
Twenty Five years ended November 30, 2010

S&P 500 JPM HY Global Index Wilshire 5000 Rusell 2000 Investment Grade
10.00%
9.00%
8.00% LB Agg. Bond Index 10-year Treasury 5-year Treasury DAX
Annualized Return
7.00%
6.00%
Gold
FTSE 100
5.00% 3.00% 7.00%
15.00%
19.00%
23.00%
Sources: J.P. Morgan; Bloombergg
A129
Ended November 30, 2010

1 Year 6.64% 7.30% 4.80% 6.04% 8.96% 16.34% 7.28% 7.23% 7.00% 6.39% 7.81% 9.60% 7.03% 6.85% 6.82% 6.23% 6.93% 8.72% 6.12% 6.21% 6.28% 6.15% 7.22% 9.24% 5.94% 5.89% na 6.22% 6.77% 7.62% 7.09% 7.67% na 7.64% 8.33% 9.30% 4.89% 8.75% 2.78% 3.22% 4.18% 6.95% 5.23% 9.73% 3.40% 4.12% 8.59% 16.49% 4.70% 8.21% 3.04% 3.58% 6.94% 12.98% 4.98% 8.15% 2.93% 3.80% 6.13% 10.43% 4.62% 7.59% na 3.66% 5.58% 9.19% 4.88% 7.58% na 4.15% 5.42% 8.44% 1.36 0.83 1.73 1.88 2.14 2.35 Average Annual Returns 3 Year 5 Year 10 Year 15 Year 25 Year 1 Year 25 Year 1 Year Average Annual Volatility 3 Year 5 Year 10 Year 15 Year Modified Sharpe Ratio1 3 Year 5 Year 10 Year 15 Year 25 Year 1.39 0.74 2.06 1.55 0.91 0.58 1.50 0.83 2.24 1.74 1.00 0.67 1.23 0.76 2.14 1.62 1.18 0.89 1.28 0.78 na 1.70 1.21 0.83 1.45 1.01 na 1.84 1.54 1.10
Fixed Income 5-year Treasury 10-year Treasury JPMorgan MBS Bond Index LB Aggregate Bond Index JPMorgan JULI High-Grade Index JPMorgan Global HY Index
Equity S&P 500 Wilshire 5000 Russell 2000 S&P 500 Barra Growth Index 9.94% 13.12% 26.99% 9.92% -5.15% -4.52% -0.22% -2.36% 0.98% 1.11% 2.90% 2.05% 0.81% 1.38% 6.26% -0.82% 6.45% 6.23% 7.19% 5.44% 9.85% 9.47% 8.90% na 18.38% 18.82% 24.28% 19.68% 21.80% 22.40% 27.68% 22.44% 17.59% 18.07% 22.83% 17.96% 16.25% 16.64% 21.12% 16.68%
International Equity FTSE 100 CAC 40 DAX 10.58% -5.37% 18.89% -4.34% -12.88% -5.83% 1.56% -2.55% 4.79% -0.47% -3.82% 0.29% 3.18% 5.38% 7.42% 5.77% na 6.85% 16.47% 20.12% 16.00% 20.65% 23.31% 24.32%
Emerging Markets JPMorgan EMBI- Global Composite Dow Jones World EM Stock Index 12.77% 14.87% 8.90% -1.92% 8.74% 10.38% 10.76% 12.39% 11.91% 5.00% na na
Y
16.30% 16.67% 21.04% 17.35% 15.82% 16.04% 19.98% 16.81% 0.54 0.70 1.11 0.50 -0.24 -0.20 -0.01 -0.11 0.06 0.06 0.13 0.11 0.05 0.08 0.30 -0.05 0.40 0.37 0.34 0.31 0.62 0.59 0.45 na 16.87% 19.37% 20.18% 15.48% 19.66% 23.48% 14.92% 16.25% 20.16% na 23.31% 22.22% 0.64 -0.27 1.18 -0.21 -0.55 -0.24 0.09 -0.13 0.24 -0.03 -0.19 0.01 0.21 0.27 0.32 0.36 na 0.31 6.64% 21.06% 12.74% 32.61% 10.33% 27.51% 9.92% 24.53% 13.14% 26.51% na na 1.92 0.71 0.70 -0.06 0.85 0.38 1.08 0.51 0.91 0.19 na na 17.26% 11.99% 21.04% 5.46% 23.04% 5.07% 17.99% 5.15% 8.97% 5.39% 6.03% na 14.45% 4.81% 22.49% 14.05% 20.02% 11.02% 17.11% 7.91% 16.22% 14.84% 6.50% na 1.19 2.49 0.94 0.39 1.15 0.46 1.05 0.65 0.55 0.83 0.41 na
Other Gold Leveraged loans
1. Annualized returns divided by the annualized standard deviation of return. Sources: J.P. Morgan; Bloomberg; S&P LCD.
A130
Ended November 30, 2010

1 Year 16.19% 16.25% 16.49% 15.08% 17.74% 15.16% 15.52% 9.45% 9.52% 10.93% 8.27% 10.30% 9.15% 9.60% 8.60% 8.66% 9.42% 6.61% 8.96% 7.22% 7.77% 9.23% 9.14% 6.38% 4.85% 8.23% 5.64% 5.68% 7.61% 7.54% 5.59% na na na na na na na na na na na 6.93% 6.98% 7.57% 8.00% 6.16% 7.70% 7.70% 16.28% 16.38% 19.55% 19.33% 10.58% 17.76% 18.37% 12.83% 12.91% 15.33% 15.17% 8.40% 13.94% 14.41% 10.32% 10.43% 14.67% 13.42% 8.97% 12.26% 13.12% 9.04% 9.14% 12.97% na na na na na na na na na na na 2.34 2.33 2.18 1.88 2.88 1.97 2.02 Average Annual Returns 3 Year 5 Year 10 Year 15 Year 25 Year 1 Year 25 Year 1 Year Average Annual Volatility 3 Year 5 Year 10 Year 15 Year Modified Sharpe Ratio1 3 Year 5 Year 10 Year 15 Year 25 Year 0.58 0.58 0.56 0.43 0.97 0.52 0.52 0.67 0.67 0.61 0.44 1.07 0.52 0.54 0.89 0.88 0.44 0.36 0.92 0.46 0.43 0.84 0.82 0.43 na na na na na na na na na na na
JPMorgan High-Yield Indices US dollar HY Domestic US dollar HY Developed Markets US dollar European HY Index Euro HY Index Pound Sterling HY Index European Currency HY Index European Aggregate HY Index
JPMorgan High-Yield Index Sectors US dollar global BB-rated US dollar global B-rated US dollar global CCC-rated US dollar global defaulted securities 15.49% 14.42% 21.05% 27.04% 10.43% 5.07% 8.76% 9.45% 8.74% 6.12% 9.25% 10.85% 9.15% 8.10% 9.83% 11.62% 8.40% 6.86% 6.21% 3.59% na na na na 5.88% 6.63% 10.77% 15.89% 12.67% 15.25% 27.97% 33.70% 10.06% 12.01% 22.01% 27.07% 8.02% 10.01% 18.13% 20.84%
6.90% 8.99% 16.41% 19.75%
na na na na
2.63 2.17 1.96 1.70
0.82 0.33 0.31 0.28
0.87 0.51 0.42 0.40
1.14 0.81 0.54 0.56
1.22 0.76 0.38 0.18
na na na na
1. Annualized returns divided by the annualized standard deviation of return. Source: J.P. Morgan.
A131

Return 2.34% 4.65% 4.94% 4.34% 5.28% 11.55% 4.96% 7.37% 3.01% 4.04% 5.05% 3.57% 0.06% 2.00% 2.73% 2.43% 1.68% 3.07% 3.61% 6.03% 2.32% 3.14% 4.09% 4.40% 2.61% 1.32% 5.29% 4.33% 4.29% 11.45% 2.53% 4.56% 2.47% 2.70% 3.52% 2.17% 10.41% 9.76% 6.95% 6.96% 5.34% 2.88% 4.77% 6.02% 2.56% 2.64% 3.38% 5.51% 13.77% 20.22% 8.46% 5.24% -1.84% -26.83% 6.50% 11.68% 5.05% 6.09% 12.77% 20.44% 2004 Volatility Return Return -1.22% -8.76% 6.11% 5.93% 16.72% 58.90% 2005 Volatility 2006 Volatility 2007 Return Volatility 2008 Return Volatility 2009 Return Volatility 4.81% 9.18% 2.61% 3.34% 6.51% 11.61% 20101 Return Volatility 9.63% 12.81% 6.26% 7.72% 9.98% 12.92% 3.52% 6.68% 2.11% 2.43% 3.96% 7.02%
Fixed Income 5-year Treasury 10-year Treasury JPMorgan MBS Bond Index LB Aggregate Bond Index JPMorgan JULI High-Grade Index JPMorgan Global HY Index
Equity S&P 500 Wilshire 5000 Russell 2000 S&P 500 Barra Growth Index 10.87% 10.85% 18.38% 4.70% 7.31% 8.20% 14.61% 8.01% 4.93% 4.73% 4.63% 1.92% 7.93% 9.46% 14.55% 8.42% 15.80% 14.12% 18.44% 10.00% 5.64% 6.62% 13.61% 6.49% 5.49% 5.61% -1.56% 8.83% 9.66% 9.72% 12.42% 8.70%
International Equity FTSE 100 CAC 40 DAX 11.64% 7.40% 7.34% 5.85% 6.53% 10.62% 21.28% 23.40% 27.07% 8.14% 10.95% 12.28% 14.89% 22.38% 21.77% 7.84% 9.35% 9.72%
Emerging Markets JPMorgan EMBI- Global Composite Dow Jones World EM Stock Index 11.73% 24.38% 8.58% 15.82% 10.73% 26.03% 5.48% 18.94% 9.88% 26.15%
Y
-37.00% -37.40% -33.49% -36.85% 21.02% 22.10% 28.35% 24.46% 26.46% 27.17% 27.18% 39.36% 22.28% 22.54% 29.35% 18.57% 7.86% 10.00% 17.53% 5.97% 19.24% 19.64% 24.59% 20.39% 5.99% 3.73% 20.18% 9.14% 10.60% 11.77% -27.99% -40.31% -40.37% 23.05% 23.11% 24.05% 27.90% 27.22% 23.85% 18.93% 24.49% 28.11% 5.96% -11.68% 12.27% 16.82% 19.30% 16.02% 5.70% 17.26% 5.86% 28.79% 4.64% 17.19% -10.91% -51.64% 19.10% 37.00% 29.09% 77.61% 7.11% 28.18% 12.41% 10.41% 6.92% 21.87% 5.36% 3.24% 5.95% 15.80% 0.71% 0.86% 18.36% 3.34% 5.37% 13.97% 1.70% 0.84% 23.11% 2.52% 6.77% 19.00% 1.24% 0.51% 30.98% 4.28% 2.00% 13.71% 0.88% 4.65% -11.09% -0.13% -29.10% 27.76% 2.74% 16.07% 23.96% 2.63% 51.62% 21.08% 0.77% 9.56% 26.35% 0.80% 8.79% 11.53% 0.61% 4.50%
Other Gold US inflation Leveraged loans
1. Through November 30, 2010. Sources: J.P. Morgan; Bloomberg; S&P LCD.
A132

Return 11.10% 15.55% 11.25% 16.43% 14.72% 14.02% 22.73% 15.32% 14.99% 3.43% 5.02% 3.48% 5.74% 5.32% 2.85% 5.53% 3.08% 3.68% 2.42% 8.19% 2.62% 9.70% 7.12% 4.61% 4.25% 4.57% 5.26% 4.50% 4.21% 4.48% 4.31% 4.67% 3.51% 3.85% 3.52% 3.64% 11.56% 10.64% 11.58% 9.69% 10.68% 9.66% 12.32% 9.25% 9.60% 2.14% 2.78% 2.14% 3.31% 2.50% 2.00% 1.64% 1.89% 1.91% 2.58% 5.33% 2.69% 6.29% 3.70% -1.35% 0.68% -0.74% 0.37% 5.56% 5.23% 5.60% 4.51% 5.77% 5.76% 3.61% 5.26% 5.39% -26.55% -29.22% -26.80% -27.22% -30.17% -34.86% -19.80% -31.35% -31.73% 19.92% 26.83% 20.12% 31.13% 25.99% 21.27% 10.43% 19.95% 21.60% 2004 Volatility Return Return 58.18% 65.20% 58.76% 61.96% 69.31% 73.44% 45.31% 68.42% 70.20% 2005 Volatility 2006 Volatility 2007 Return Volatility 2008 Return Volatility 2009 Return Volatility 11.80% 10.59% 11.67% 11.53% 12.00% 15.59% 6.73% 13.61% 13.29% 20101 Return Volatility 12.62% 14.94% 12.76% 15.24% 14.27% 12.33% 15.14% 12.53% 13.02% 6.94% 7.85% 7.02% 7.79% 7.90% 8.27% 6.39% 7.97% 8.00%
JPMorgan High-Yield Indices US dollar HY Domestic US dollar HY International US dollar HY Developed Markets US dollar HY Emerging Markets US dollar European HY Index Euro HY Index Pound Sterling HY Index European Currency HY Index European Aggregate HY Index
JPMorgan High-Yield Index by Rating US dollar global BB-rated US dollar global B-rated US dollar global CCC-rated US dollar global defaulted securities 9.34% 11.13% 18.89% 16.36% 4.30% 3.16% 5.92% 10.58% 3.12% 3.78% -2.28% 4.91% 4.34% 4.56% 8.15% 5.43% 8.91% 10.63% 19.56% 35.86% 2.61% 2.24% 3.14% 11.87% 3.35% 4.55% -0.25% -10.40%
4.55% 5.22% 9.23% 10.67%
-14.60% -28.35% -47.61% -59.56%
16.28% 18.52% 30.52% 32.76%
40.98% 45.37% 110.58% 179.79%
7.93% 10.55% 24.47% 24.71%
12.82% 11.89% 15.74% 19.67%
6.03% 6.84% 10.78% 16.01%
A133

5Year Tsy S&P 500 Wilshire 5000 Russell 2000 0.92 0.87 0.96 0.73 -0.29 -0.41 -0.45 -0.60 0.27 -0.37 0.51 -0.09 -0.53 0.73 0.92 0.73 -0.49 -0.62 -0.65 -0.77 0.10 -0.51 0.61 -0.18 -0.67 0.86 0.55 -0.25 -0.40 -0.44 -0.57 0.16 -0.41 0.32 -0.16 -0.45 0.87 -0.17 -0.42 -0.46 -0.62 0.35 -0.32 0.44 -0.02 -0.41 0.17 -0.24 -0.28 -0.43 0.55 -0.04 0.28 0.23 -0.05 0.74 0.73 0.66 0.68 0.85 -0.38 0.51 0.87 1.00 0.94 0.44 0.89 -0.23 0.38 0.65 0.96 0.40 0.88 -0.24 0.36 0.66 0.19 0.80 -0.29 0.21 0.67 10Year Tsy JPM MBS Bond LB Aggregate Bond Index JPM JULI HG Index JPM Global HY Index JPM EMBI Global Composite Dow Jones World EM Stock Index Gold US Inflation
One-year correlation ended November 30, 2010
10-year Treasury JPMorgan MBS Bond Index LB Aggregate Bond Index JPMorgan JULI High-Grade Index JPMorgan Global HY Index S&P 500 Wilshire 5000 Russell 2000 JPMorgan EMBI- Global Composite Dow Jones World EM Stock Index Gold US Inflation Leveraged loans
Y
0.63 -0.14 0.64 0.35 -0.24 0.38 0.64 -0.30 -0.49 0.57
A134

5Year Tsy S&P 500 Wilshire 5000 Russell 2000 0.90 0.75 0.65 0.22 -0.42 -0.29 -0.30 -0.36 0.02 -0.30 0.38 -0.45 -0.61 0.78 0.78 0.39 -0.32 -0.20 -0.20 -0.25 0.19 -0.18 0.40 -0.45 -0.54 0.80 0.42 -0.03 -0.03 -0.04 -0.14 0.38 -0.02 0.51 -0.45 -0.22 0.82 0.30 0.26 0.25 0.17 0.69 0.33 0.51 -0.31 0.02 0.57 0.43 0.41 0.35 0.78 0.55 0.34 -0.17 0.36 0.75 0.75 0.73 0.82 0.84 0.17 0.37 0.92 1.00 0.95 0.68 0.88 0.03 0.18 0.63 0.96 0.68 0.88 0.02 0.20 0.63 0.63 0.82 -0.04 0.21 0.61 10Year Tsy JPM MBS Bond LB Aggregate Bond Index JPM JULI HG Index JPM Global HY Index JPM EMBI Global Composite Dow Jones World EM Stock Index Gold US Inflation
Three-year correlation ended November 30, 2010
0.79 0.40 0.12 0.62
0.19 0.14 0.69
-0.02 0.03
0.55
A135

5Year Tsy S&P 500 Wilshire 5000 Russell 2000 0.91 0.76 0.69 0.28 -0.39 -0.31 -0.32 -0.38 0.04 -0.30 0.26 -0.35 -0.56 0.80 0.81 0.44 -0.31 -0.23 -0.23 -0.28 0.20 -0.20 0.29 -0.39 -0.52 0.84 0.48 -0.02 -0.04 -0.06 -0.15 0.41 -0.04 0.41 -0.39 -0.20 0.82 0.26 0.19 0.18 0.09 0.66 0.23 0.40 -0.29 0.00 0.55 0.38 0.37 0.29 0.77 0.47 0.31 -0.19 0.34 0.74 0.74 0.71 0.81 0.77 0.18 0.29 0.91 1.00 0.93 0.65 0.84 0.06 0.15 0.62 0.94 0.65 0.84 0.06 0.16 0.63 0.59 0.77 0.02 0.15 0.60 10Year Tsy JPM MBS Bond LB Aggregate Bond Index JPM JULI HG Index JPM Global HY Index JPM EMBI Global Composite Dow Jones World EM Stock Index Gold US Inflation
Five-year correlation ended November 30, 2010
Y
0.73 0.37 0.06 0.60 0.27 0.13 0.64 0.02 0.05 0.46
A136

5Year Tsy S&P 500 Wilshire 5000 0.94 0.82 0.83 0.52 -0.28 -0.39 -0.40 -0.41 0.12 -0.34 0.22 -0.22 -0.41 0.83 0.88 0.61 -0.21 -0.33 -0.33 -0.33 0.22 -0.28 0.24 -0.27 -0.39 0.89 0.63 0.00 -0.17 -0.18 -0.24 0.36 -0.12 0.29 -0.25 -0.17 0.86 0.19 -0.07 -0.07 -0.09 0.51 0.01 0.28 -0.21 -0.02 0.49 0.18 0.18 0.14 0.66 0.27 0.26 -0.19 0.27 0.65 0.66 0.66 0.69 0.72 0.11 0.15 0.85 0.99 0.88 0.53 0.81 0.02 0.02 0.50 0.91 0.54 0.82 0.03 0.02 0.51 0.50 0.77 0.03 0.02 0.50 10Year Tsy JPM MBS Bond Index LB Aggregate Bond Index JPM JULI HG Index JPM Global HY Index JPM EMBI Russell Global 2000 Composite Dow Jones World EM Stock Index Gold US Inflation
Ten-year correlation ended November 30, 2010
0.62 0.33 0.03 0.46
0.21 0.04 0.54
0.05 0.05
0.36
A137

5Year Tsy S&P 500 Wilshire 5000 0.94 0.85 0.58 -0.24 -0.25 -0.27 -0.31 0.05 -0.27 0.21 -0.16 -0.38 0.90 0.67 -0.18 -0.19 -0.21 -0.25 0.12 -0.23 0.21 -0.21 -0.36 0.88 0.18 0.02 0.00 -0.05 0.31 -0.04 0.25 -0.15 -0.03 0.46 0.22 0.21 0.15 0.45 0.19 0.24 -0.15 0.23 0.60 0.62 0.63 0.58 0.62 0.13 0.13 0.80 0.99 0.80 0.57 0.73 -0.01 0.03 0.41 0.87 0.58 0.75 0.02 0.03 0.42 0.54 0.70 0.08 0.02 0.43 10Year Tsy LB Aggregate Bond Index JPM JPM JULI HG Global Index HY Index JPM EMBI Dow Jones Russell Global World EM 2000 HY Index Stock Index
15-year correlation ended November 30, 2010

Gold US Inflation
10-year Treasury LB Aggregate Bond Index JPMorgan JULI High-Grade Index JPMorgan Global HY Index S&P 500 Wilshire 5000 Russell 2000 JPMorgan EMBI- Global Composite Dow Jones World EM Stock Index Gold US Inflation Leveraged loans
Y
0.68 0.29 0.06 0.29 0.21 0.04 0.42 0.07 0.02 0.32
A138

5Year Tsy LB Aggregate S&P 500 Wilshire 5000 0.95 0.91 0.72 -0.05 -0.03 -0.06 -0.16 0.06 -0.14 0.93 0.78 -0.01 0.01 -0.01 -0.10 0.06 -0.19 0.91 0.24 0.17 0.15 0.04 0.05 -0.14 0.45 0.28 0.27 0.18 0.08 -0.15 0.57 0.59 0.61 0.03 0.01 0.99 0.82 -0.12 -0.03 10Year Tsy Investment grade Bonds Highyield Bonds Russell 2000 Gold
Twenty five-year correlation ended November 30, 2010
10-year Treasury LB Aggregate Bond Index Investment-grade bonds High-yield bonds S&P 500 Wilshire 5000 Russell 2000 Gold US Inflation
0.88 -0.09 -0.03
-0.03 -0.04
0.04
A139
Who owns high yield?

2010
Hedge Funds and Other 5.2%
Foreign 9.6%
High-Yield Mutual Funds 17.8%
Equity and Income Funds 8.6%
Investment-Grade Funds 8.8% Insurance Companies 25.4% CBOs 2.7%
Pension Funds 21.9%
Sources: J.P. Morgan estimates; Morningstar.
2009
Hedge Funds and Other 6.9% Foreign 7.0%
Z
Sources: J.P. Morgan estimates; Morningstar. A140
Pension Funds 20.9%

2008
Hedge Funds and Other 4.9% Foreign 7.2% High-Yield Mutual Funds 16.5%
Pension Funds 20.3%

2006
Hedge Funds and Other 7.4% Foreign 7.4% High-Yield Mutual Funds 14.2%
Investment-Grade Funds 11.9%
Insurance Companies 25.3%
CBOs 7.9% Pension Funds 20.0%

Z
A141

2004
Other 7.8% Foreign 6.5% Equity and Income Funds 6.5% High-Yield Mutual Funds 15.1%
Investment-Grade Funds 10.9%

2002
Foreign 5.0% Equity and Income Funds 6.0% Other 6.7% High-Yield Mutual Funds 13.0%
Investment Grade Funds 9.9%
CBOs 16.4%
Z
A142
Pension Funds 18.6%

Sources: J.P. Morgan estimates; Investment Company Institute; Morningstar; CDA Investment Technologies.

2000
Foreign 6.1% Equity and Income Funds 6.7% Insurance Companies 22.3% Investment Grade Funds 7.0% Other 5.1% High-Yield Mutual Funds 13.2%

1998
Foreign 4.7% Equity and Income Funds 2.2% Investment Grade Funds 10.1% Other 6.2%
CBOs 12.6% Insurance Companies 24.9%
Pension Funds 18.8%

Sources: J.P. Morgan estimates; Investment Company Institute; Morningstar; CDA Investment Technologies. A143

1996
Investment Grade Funds 12.0% Foreign 5.0% Insurance Companies 23.0%
Equity & Income 11.0%
Pension Funds 18.0%
CBO/Other 10.0%

1992
Investment Grade Funds 9.0% Equity & Income 9.0% Foreign 3.0% Insurance Companies 29.0%
Pension Funds 13.0%
RTC 1.0%
Z
A144
CBO/Other 18.0%
Long-term high-yield market timeline
Spread to worst
Label of events
16- Dec-08: Spreads peak at a record-high 1925bp
HY spreads widen 188bp following 11-Sep-01, reaching 1024bp Nov-02: HY default rate below 8% for first time since Nov-01
Sep-08: Lehman Brothers files bankruptcy
Spread to worst
Dec-90: 1096bp
Jan-91: U.S. attacks Iraq
2000: High-yield domestic defaults rise third consecutive year; spreads widen to highest level since Jan-91
Jun-Aug-07: Spreads widen 200bp, due to subprime/ structured credit fallout and $350 billion new-issue backlog
Jun-09: GM files Ch. 11 Nov-06: Record-month $29 billion in new issuance, highlighted by LBO financings for HCA and Freescale Nov-09: CIT Group files bankruptcy
Feb-90: Drexel files for bankruptcy 25-Aug-98 to 31-Aug-98: Dow drops 12.4% owing to events triggered by turmoil in Russia 1995: 10-year Treasury falls 225bp 1994: 10-year Treasury rises 192bp
Oct-87: Stock market loses 504 points
Default rate dips below 1.0% for first time in 20 years
May-89: RJR $6.1 bn issued
2100bp 2000bp 1900bp 1800bp 1700bp 1600bp 1500bp 1400bp 1300bp 1200bp 1100bp 1000bp 900bp 800bp 700bp 600bp 500bp 400bp 300bp 200bp
Mar-05 to May-05: HY spreads widen 172bp, due to uncertainty regarding GM and Ford
Nov-88: Federated $1.1 bn issued
In 2010, default rate declines from 10.27% to 0.74%; HY new-issue volumes reach record $277 billion; HY bonds return +12.9% through Nov. 30
Jul-01
Apr-99
Oct-00
Apr-02
Jul-09 Jan-00 Jun-04 Feb-94 Feb-97 Mar-05 Nov-94 Nov-97 Dec-02 Nov-05 Feb-08 Aug-95 Aug-98 Sep-03 May-93 May-96 Aug-06 May-07 Nov-08
Feb-88
Dec-85
Nov-88
Feb-91
Aug-89
Nov-91
May-87
A145
May-90
Aug-92
Apr-10
AA
AA
Long-term high-yield market timeline

Yield to worst
Jan-90: Federated files for bankruptcy Apr-91: RJR Nabisco refinances $1.5 bn 1994: Fed funds rate raised 250bp 16-Dec-08: HY YTW reaches record-high 20.92%
22.00%
Label of events
10-year Treasury
10.00% 9.00% 8.00% 7.00%
20.00%
Jul-91: Time Warner $2.5 bn equity investment High-yield market's YTW rises nearly 3% from Apr-02 to Oct-02. Investors lose confidence following string of corporate fraud disclosures
18.00%
16.00%
Apr-87: Texaco bankruptcy
Sixty companies totaling $106 billion in bonds and loans default during the first four months of '09; bond and loan default rates are tracking 17.2% and 21.3%, respectively
Yield to worst
10-year Treasury
14.00%
Oct-89: UAL buyout fails Jan-92: Macy's files for bankruptcy
Positive feedback loop spurs risk taking; high-yield bonds return +54% in 9months ended 15-Dec
HY market YTW reaches YTD low of 7.16%, only 21bp above the all-time low
6.00% 5.00% 4.00%

2H06: HY returns 7.7%
12.00%
Dec-91: Owens-Illinois refinances $1.0 bn
10.00%
8.00%
Jul-86 and Oct-86: Macy's prices $725 mn deal; LTV files for bankruptcy
3.00%
0ct-Dec-08: 10-year Treasury yield collapses 174bp
Nov-85: SCI prices $1.6 bn
6.00% Oct-03 Jul-04 Jan-03 Apr-05 Jun-07 Feb-97 Feb-88 Feb-91 Nov-88 Nov-91 Feb-94 Nov-94 Nov-97 Feb-00 Nov-00 Dec-05 Mar-08 Aug-98 Aug-89 Aug-92 Aug-95 Aug-01 Sep-06 Dec-08 May-90 May-93 May-96 May-99 May-02 Sep-09 Jun-10
2.00%
Nov-85
Aug-86
A146
May-87
A147
AA
J.P. Morgan North American Credit Research

383 Madison Avenue, 3rd Floor, New York, NY 10179
JOYCE CHANG Head of Global Credit and Emerging Markets Research (212) 834-4203
H I G H G R A D E S T R AT E G Y A N D C R E D I T D E R I VAT I V E R E S E A R C H ERIC BEINSTEIN

eric.beinstein@jpmorgan.com . . . . . . . (212) 834-4211, andrew.j.scott@jpmorgan.com . . . . . (212) 834-3843 dominique.d.toublan@jpmorgan.com . (212) 834-2370 miroslav.j.skovajsa@jpmorgan.com . (212) 834-5154 anna.x.cherepanova@jpmchase.com . (212) 834-3220
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peter.acciavatti@jpmorgan.com . . . (212) 270-9633, tony.linares@jpmorgan.com . . . . . . (212) 270-3285 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . nelson.r.jantzen@jpmorgan.com . . . (212) 270-1169 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . alisa.meyers@jpmorgan.com . . . . . (212) 834-9151
ARUN N. KUMAR NORTH AMERICAN HIGH GRADE RESEARCH
AND
DAVID COMMON NORTH AMERICAN HIGH YIELD RESEARCH
Co-Heads of Credit ResearchHigh Grade and High Yield

AUTOMOTIVE eric.j.selle@jpmorgan.com . . . . . . . . . . (212) 270-9624, jenna.l.giannelli@jpmorgan.com . . . (212) 270-9455 BASIC INDUSTRIES Chemicals and Metals & Mining robin.levine@jpmorgan.com . . . . . . (212) 270-1536, svetlana.x.goldenberg@jpmorgan.com . (212) 270-9453 Home Builders susan.berliner@jpmorgan.com . . . . .(212) 270-3085, richard.j.degaetani@jpmorgan.com . (212) 834-9524 Paper/Forest Products, Packaging tarek.x.hamid@jpmorgan.com . . . . . (212) 834-5468, kevin.p.tomassetti@jpmorgan.com . (212) 834-4079 AUTOMOTIVE eric.j.selle@jpmorgan.com . . . . . . . . . . (212) 270-9624, jenna.l.giannelli@jpmorgan.com . . . (212) 270-9455 BASIC INDUSTRIES Chemicals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . tarek.x.hamid@jpmorgan.com . . . . . (212) 834-5468, Home Builders susan.berliner@jpmorgan.com . . . . .(212) 270-3085, Metals & Mining . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . dave.adam.katz@jpmchase.com . . . (212) 270-4593, Paper/Forest Products, Packaging tarek.x.hamid@jpmorgan.com . . . . . (212) 834-5468,
kevin.p.tomassetti@jpmorgan.com . (212) 834-4079 richard.j.degaetani@jpmorgan.com . (212) 834-9524 bayina.bashtaeva@jpmchase.com . (212) 270-1372 kevin.p.tomassetti@jpmorgan.com . (212) 834-4079
BANKS, FINANCE AND SECURITIES COMPANIES kabir.x.caprihan@jpmorgan.com . . . (212) 834-5613, matthew.hughart@jpmorgan.com . . (212) 270-4584 CONSUMER PRODUCTS, FOOD AND RESTAURANTS, RETAIL virginia.chambless@jpmorgan.com . (212) 834-5481, james.r.stone@jpmchase.com . . . . . (212) 270-1682 ELECTRIC UTILITIES AND POWER GENERATION susan.voorhees@jpmorgan.com . . . (212) 834-5200, priya.x.rangarajan@jpmorgan.com . (212) 834-9455 ENERGY, PIPELINES, MLPS robin.levine@jpmorgan.com . . . . . . (212) 270-1536, svetlana.x.goldenberg@jpmorgan.com . (212) 270-9453 HEALTHCARE, INSURANCE arun.n.kumar@jpmorgan.com . . . . . (212) 834-5423, brett.g.gibson@jpmchase.com . . . . (212) 270-7484
FINANCE AND SECURITIES COMPANIES dave.adam.katz@jpmchase.com . . . (212) 270-4593, bayina.bashtaeva@jpmchase.com . (212) 270-1372 CONSUMER PRODUCTS, FOOD AND RESTAURANTS, RETAIL carla.casella@jpmorgan.com . . . . . . (212) 270-6798, mili.x.seoni@jpmorgan.com . . . . . . . (212) 270-6861 ELECTRIC UTILITIES AND POWER GENERATION susan.voorhees@jpmorgan.com . . . (212) 834-5200, priya.x.rangarajan@jpmorgan.com . (212) 834-9455 ENERGY gregg.w.brody@jpmorgan.com . . . . (212) 834-5997, jason.homler@jpmorgan.com . . . . . (212) 834-9405 HEALTHCARE, INSURANCE Healthcare david.common@jpmorgan.com . . . . (212) 270-5260, nathaniel.t.kirk@jpmorgan.com . . . . (212) 270-9103 Insurance arun.n.kumar@jpmorgan.com . . . . . (212) 834-5423, brett.g.gibson@jpmchase.com . . . . (212) 270-7484 MANUFACTURING, SERVICES Aerospace/Defense, Industrials, Services yilma.abebe@jpmorgan.com . . . . . . (212) 270-3265, ryan.p.dean@jpmorgan.com . . . . . . (212) 270-9566 GAMING, LODGING, LEISURE Gaming, Lodging susan.berliner@jpmorgan.com . . . . .(212) 270-3085, richard.j.degaetani@jpmorgan.com . (212) 834-9524 Leisure michael.pace@jpmorgan.com . . . . . (212) 270-6530, arjun.c.chandar@jpmorgan.com . . . (212) 270-6797 TECHNOLOGY/TELECOMMUNICATION, CABLE AND MEDIA Technology/Telecommunication Services thomas.j.egan@jpmorgan.com . . . . . (212) 270-2149 Cable/Satellite michael.pace@jpmorgan.com . . . . . (212) 270-6530, arjun.c.chandar@jpmorgan.com . . . (212) 270-6797 Broadcasting/Publishing avi.a.steiner@jpmorgan.com . . . . . . (212) 270-5512, kenneth.r.norden@jpmchase.com . . (212) 270-1564 TRANSPORTATION Airlines/EETCs/Aircraft/Rails/Freight/Shipping mark.streeter@jpmorgan.com . . . . . (212) 834-5086, nicholas.j.northington@jpmorgan.com(212) 834-52377
MANUFACTURING, SERVICES Aerospace/Defense, Industrials, Services virginia.chambless@jpmorgan.com . (212) 834-5481, james.r.stone@jpmchase.com . . . . . (212) 270-1682 REITS, GAMING, LODGING REITs mark.streeter@jpmorgan.com . . . . . (212) 834-5086,, nicholas.j.northington@jpmorgan.com .(212) 834-5237 Gaming, Lodging susan.berliner@jpmorgan.com . . . . .(212) 270-3085, richard.j.degaetani@jpmorgan.com . (212) 834-9524 TECHNOLOGY/TELECOMMUNICATION, CABLE AND MEDIA Technology/Telecommunication Services brian.m.turner@jpmchase.com . . . . .(212) 834-4035 Cable/Satellite michael.pace@jpmorgan.com . . . . . (212) 270-6530, arjun.c.chandar@jpmorgan.com . . . (212) 270-6797 Broadcasting/Publishing avi.a.steiner@jpmorgan.com . . . . . . (212) 270-5512, kenneth.r.norden@jpmchase.com . . (212) 270-1564 TRANSPORTATION Airlines/EETCs/Aircraft/Rails/Freight/Shipping mark.streeter@jpmorgan.com . . . . . (212) 834-5086, nicholas.j.northington@jpmorgan.com .(212) 834-5237
North America Credit Research
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Important Disclosures
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JPM 2010 Annual Review

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North American High Yield Research

New York December 2010

2010 High-Yield Annual Review

Nelson R. Jantzen, CFA

J.P. Morgan Securities LLC

See last page for analyst certification and important disclosures.

2011 outlook and strategy

Executive summary: Goldilocks for credit

Sources: J.P. Morgan; S&P/LCD.

J.P. Morgan US economic forecasts

1Q11E 3.5% 9.6% 0.6%

%q/q 2Q11E 4.0% 9.4% 0.6%

3Q11E 3.5% 9.2% 0.7%

4Q11E 3.0% 9.0% 0.8%

2010 2.8% 9.7% 1.0%

%y/y 2011 3.1% 9.3% 0.7%

2012 3.0% 8.7% 0.9%

2.5% 9.7% 0.4%

2.7% 1.3% -1.6% 5.4% 1.0% 2.5% 5% 0.55 12.2

3.3% 0.5% -0.3% 5.7% 4.5% 3.5% 10% 0.60 12.4

3.7% 0.2% 0.1% 5.7% 3.5% 3.5% 20% 0.65 12.6

4.1% -0.3% -0.3% 5.4% 3.0% 4.0% 15% 0.68 12.8

3.3% -0.5% 0.1% 5.4% 3.0% 3.0% 10% 0.70 12.9

1.9% -0.6% 1.4% 5.7% 1.3% 1.7% -2.9% 0.59 11.5

3.4% -0.1% -0.2% 5.6% 3.0% 3.2% 6.7% 0.66 12.7

3.1% -0.2% 0.0% 5.2% 2.3% 2.7% 13.1% 0.78 13.2

A high required growth rate for the US

Required GDP growth for successful reflation

4Q10E 0-0.25% 0.28% 0.14% 0.50% 1.40% 2.50% 3.85% 2.00%

1Q11E 0-0.25% 0.28% 0.15% 0.55% 1.55% 2.65% 3.95% 2.10%

2Q11E 0-0.25% 0.28% 0.18% 0.75% 2.00% 3.00% 4.25% 2.25%

3Q11E 0-0.25% 0.28% 0.19% 0.85% 2.20% 3.20% 4.50% 2.35%

4Q11E 0-0.25% 0.28% 0.21% 0.95% 2.40% 3.45% 4.70% 2.50%

0-0.25% 0.28% 0.14% 0.61% 1.86% 3.25% 4.46% 2.64%

Default risk will remain low in 2011 and 2012

Loan default rate

3.9% 3.0% 2.0% 2.0% 1.8% 1.5% 0.8%

2.3% 2.3% 1.1% 1.0%0.9% 0.5% 0.4%0.2%

Institutional loans by price buckets

Default activity has remained low all year

Source: J.P. Morgan.

Change in maturities since year end 2008

150 100 50 0 2011 2012

Change in high-yield bond maturities since year end 2008

Change in leveraged loan maturities since year end 2008

Spreads remain attractive

+55bp -36bp x 3.93yrs +1.4% 9.8%

Duration Price contribution Expected total return

Expected 2011 leveraged loan return

4.1% L+588bp L+475bp 3.0% 7.1%

Default rate 1.5%

Default loss 83bp

Excess spread 307bp

What todays loan spread implies for future defaults

Default rate 2.0%

Default loss 70bp

Excess spread 285bp

Yields for high yield are attractive

Sources: J.P. Morgan; S&P/LSTA

Prefer CCCs to Bs and BBs

High-yield bond spreads

Factors support demand for high yield

8.0 6.0 4.0 2.0 ($bn) 0.0